On Multidimensional stable-driven Stochastic Differential Equations with Besov drift

DOI10.1214/22-EJP864MaRDI QIDQ6322830arXivFDO

Authors Paul-Eric Chaudru De Raynal, Stéphane Menozzi

Publication date 29 July 2019

Published in arXiv

Full work available at URL https://doi.org/10.1214/22-EJP864

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Smoothness and regularity of solutions to PDEs (35B65) Fractional partial differential equations (35R11) Regularization by noise (60H50)

arXiv classification

math.PR

Abstract: We establish well-posedness results for multidimensional non degenerate $alpha$-stable driven SDEs with time inhomogeneous singular drifts in $mathbb{L}^r-{mathbbB}_{p,q}^{-1+gamma}$ with $gamma<1$ and $alpha$ in $(1,2]$, where $mathbb{L}^r$ and ${mathbbB}_{p,q}^{-1+gamma}$ stand for Lebesgue and Besov spaces respectively. Precisely, we first prove the well-posedness of the corresponding martingale problem and then give a precise meaning to the dynamics of the SDE. This allows us in turn to define an ad hoc notion of weak solution, for which well-posedness holds as well. Our results rely on the smoothing properties of the underlying PDE, which is investigated by combining a perturbative approach with duality results between Besov spaces.

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