Absolute continuity under flows generated by SDE with measurable drift coefficients

DOI10.1016/J.SPA.2011.05.012MaRDI QIDQ719381zbMATH OpenOpenAlexFDO

Authors Dejun Luo

Publication date 10 October 2011

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1009.5525

zbMATH Keywords

stochastic differential equationFokker-Planck equationstrong solutionlimit theoremdensity estimate

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)

Abstract: We consider the It^{o} SDE with non-degenerate diffusion coefficient and measurable drift coefficient. Under the condition that the gradient of the diffusion coefficient and the divergences of the diffusion and drift coefficients are exponentially integrable with respect to the Gaussian measure, we show that the stochastic flow leaves the reference measure absolutely continuous.

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Cited in

(4)

• \(\rho\)-white noise solution to 2D stochastic Euler equations
• Scaling limit of stochastic 2D Euler equations with transport noises to the deterministic Navier-Stokes equations
• A scaling limit for the stochastic mSQG equations with multiplicative transport noises
• Quasi-invariance of the stochastic flow associated to Itô's SDE with singular time-dependent drift

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