Some properties of solutions of Itô equations with drift in \(L_{d+1}\) (Q2121085)

This paper is one of the series of papers where the author studies the Itô's stochastic differential equations of the form \[ d X_t=b(t,X_t)d t+\sigma(t,X_t)d W_t,\qquad X_0=x\in \mathbb R^d. \] The novelty lies in that, compared with the existing results in the literature, the drift coefficient is assumed to be in \(L_{d+1}\). In the previous paper [Ukr. Math. J. 72, No. 9, 1420--1444 (2021; Zbl 1483.60083); translation from Ukr. Mat. Zh. 72, No. 9, 1232--1253 (2020)], the author proved the solvability of the above equation. As a continuation, this paper studies some properties of the solutions including the estimates of Aleksandrov type, the expected time when the processes exist narrow tubes, the summability of Green's functions, the Itô's formula for general Sobolev functions and the applications to the theory of parabolic equations. These results are fundamental and important.