Integration of Brownian vector fields

1999/09/24 by Yves Le Jan, Jan, Yves Le, Olivier Raimond +1 · 4 citations
Economics, Econometrics and Finance · Engineering · Mathematics · Physics and Astronomy · #Financial Risk and Volatility Modeling #Fluid Dynamics and Turbulent Flows #Stochastic processes and financial applications #chao-dyn #math.PR #msc:31C25 #msc:60H10 #msc:76F05 #nlin.CD

paper · pdf · doi:10.48550/arxiv.math/9909147

40 pages, 7 encapsulated postscript figures, uses epsf

arxiv created 2001/10/01 · arxiv updated 2009/11/30

Abstract

Using the Wiener chaos decomposition, we show that strong solutions of non Lipschitzian S.D.E.'s are given by random Markovian kernels. The example of Sobolev flows is studied in some detail, exhibiting interesting phase transitions.

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