Abstract:
In this work we present a criterion for the regularity, in both space and Malliavin sense, of strong solutions to SDE’s driven by Brownian motion. As a consequence, we are able to improve the regularity of densities of such solutions. We conjecture that this criterion is optimal.
We also apply these results to construct a classical solution to the stochastic transport equation.
This is a joint work with Torstein Nilssen.