Well-posedness of SDEs with drifts in mixed-norm spaces and driven by mixed-noises (Q2423263)

This paper deals with the following stochastic differential equation \[ dX_{t}=F(t,X_{t},Y_{t})dt+dL_{t},\ dY_{t}=G(t,X_{t},Y_{t})+dW_{t},\ X_0=x\in \mathbb{R}^{d_1},\ Y_0=y\in \mathbb{R}^{d_2}, \] where \(d_1,d_2\ge1\), \(F: \mathbb{R}^{+}\times \mathbb{R}^{d_1+d_2}\to \mathbb{R}^{d_1}\) and \(G: \mathbb{R}^{+}\times \mathbb{R}^{d_1+d_2}\to \mathbb{R}^{d_2}\) are measurable functions, \(L_{t}\) is a \(d_1\)-dimensional rotationally symmetric \(\alpha\)-stable process with \(\alpha>1\) and \(W_{t}\) is a \(d_2\)-dimensional standard Brownian motion. The main result of this paper is the following: Assume that for \(T>0\) and \(p,q,r\in (1,\infty)\) satisfying \(d_1/(\alpha p)+d_2/(2q)+1/r<1/2\), and \(\beta\in (0,1)\) with \(\beta>1-\alpha/2\), we have \(F,G\in L^{r}([0,T];L^{q}(\mathbb{R}_{y}^{d_2};H_{p}^{\beta}(\mathbb{R}_{x}^{d_1})))\). Then the considered stochastic differential equation admits a unique strong solution for every initial value \((x,y)\in \mathbb{R}^{d_1+d_2}\).