Well-posedness and large deviation for degenerate SDEs with Sobolev coefficients (Q1941166)
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| Language | Label | Description | Also known as |
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| English | Well-posedness and large deviation for degenerate SDEs with Sobolev coefficients |
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Well-posedness and large deviation for degenerate SDEs with Sobolev coefficients (English)
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11 March 2013
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Summary: We prove existence and uniqueness of solutions to degenerate stochastic differential equations with Sobolev (possibly singular) drift and diffusion coefficients in a generalized sense. In particular, our result covers the classical DiPerna-Lions flows, and we also obtain well-posedness for degenerate Fokker-Planck equations with irregular coefficients. Moreover, a large deviation principle of Freidlin-Wenzell-type for this type of SDEs is established.
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DiPerna-Lions theory
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generalized stochastic flow
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Hardy-Littlewood maximal function
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large deviation
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