arXiv subjects

Ercan Sönmez

Publications and source records attributed to Ercan Sönmez.

21 records · Page 2Linked to original sources

arXiv2021

Regularization of differential equations by two fractional noises

In this paper we show the existence and uniqueness of a solution for a stochastic differential equation driven by an additive noise which is the sum of two fractional Brownian motions with different Hurst parameters. The proofs are based on the techniques of fractional calculus and Girsanov theorem. In particular, we show that the regularization effect of the fractional Brownian motion with the smaller Hurst index dominates.

math.PR↗

arXiv2020

On mixed fractional SDEs with discontinuous drift coefficient

We prove existence and uniqueness of the solution for a class of mixed fractional stochastic differential equations with discontinuous drift driven by both standard and fractional Brownian motion. Additionally, we establish a generalized Itô rule valid for functions with absolutely continuous derivative and applicable to solutions of mixed fractional stochastic differential equations with Lipschitz coefficients, which plays a key role in our proof of existence and uniqueness. The proof of such a formula is new and relies on showing the existence of a density of the law under mild assumptions on the diffusion coefficient.

math.PR↗

arXiv2017

On the carrying dimension of occupation measures for self-affine random fields

Hausdorff dimension results are a classical topic in the study of path properties of random fields. This article presents an alternative approach to Hausdorff dimension results for the sample functions of a large class of self-affine random fields. We present a close relationship between the carrying dimension of the corresponding self-affine random occupation measure introduced by U. Zähle and the Hausdorff dimension of the graph of self-affine fields. In the case of exponential scaling operators, the dimension formula can be explicitly calculated by means of the singular value function. This also enables to get a lower bound for the Hausdorff dimension of the range of general self-affine random fields under mild regularity assumptions.

math.PR↗