Franco Flandoli, Elena Issoglio, Francesco Russo
Published 2014-01-23, updated 2015-07-29Version 2
This paper investigates a time-dependent multidimensional stochastic differential equation with drift being a distribution in a suitable class of Sobolev spaces with negative derivation order. This is done through a careful analysis of the corresponding Kolmogorov equation whose coefficient is a distribution.
Heat kernel and ergodicity of SDEs with distributional drifts
Numerical approximation of SDEs with fractional noise and distributional drift
Properties of $G$-martingales with finite variation and the application to $G$-Sobolev spaces
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