Flow of diffeomorphisms for SDEs with unbounded Hölder continuous drift
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In this article, the existence of a global flow of diffeomorphisms by means of a special transformation of the drift of Ito-Tanaka type was proved by using non-standard elliptic estimates in Holder spaces.Abstract:
We consider a SDE with a smooth multiplicative non-degenerate noise and a possibly unbounded Holder continuous drift term. We prove the existence of a global flow of diffeomorphisms by means of a special transformation of the drift of Ito–Tanaka type. The proof requires non-standard elliptic estimates in Holder spaces. As an application of the stochastic flow, we obtain a Bismut–Elworthy–Li type formula for the first derivatives of the associated diffusion semigroup.read more
Citations
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