Averaging along irregular curves and regularisation of ODEs
We consider the ordinary differential equation (ODE) dxt=b(t,xt)dt+dwt where w is a continuous driving function and b is a time-dependent vector field which possibly is only a distribution in the space variable. We quantify the regularising properties of an arbitrary continuous path w on the existen...
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Veröffentlicht in: | Stochastic processes and their applications 2016-08, Vol.126 (8), p.2323-2366 |
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Format: | Artikel |
Sprache: | eng |
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Zusammenfassung: | We consider the ordinary differential equation (ODE) dxt=b(t,xt)dt+dwt where w is a continuous driving function and b is a time-dependent vector field which possibly is only a distribution in the space variable. We quantify the regularising properties of an arbitrary continuous path w on the existence and uniqueness of solutions to this equation. In this context we introduce the notion of ρ-irregularity and show that it plays a key role in some instances of the regularisation by noise phenomenon. In the particular case of a function w sampled according to the law of the fractional Brownian motion of Hurst index H∈(0,1), we prove that almost surely the ODE admits a solution for all b in the Besov–Hölder space B∞,∞α+1 with α>−1/2H. If α>1−1/2H then the solution is unique among a natural set of continuous solutions. If H>1/3 and α>3/2−1/2H or if α>2−1/2H then the equation admits a unique Lipschitz flow. Note that when α |
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ISSN: | 0304-4149 1879-209X |
DOI: | 10.1016/j.spa.2016.02.002 |