Strong solutions to stochastic differential equations with rough coefficients
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Abstract: We study strong existence and pathwise uniqueness for stochastic differential equations in with rough coefficients, and without assuming uniform ellipticity for the diffusion matrix. Our approach relies on direct quantitative estimates on solutions to the SDE, assuming Sobolev bounds on the drift and diffusion coefficients, and bounds for the solution of the corresponding Fokker-Planck PDE, which can be proved separately. This allows a great flexibility regarding the method employed to obtain these last bounds. Hence we are able to obtain general criteria in various cases, including the uniformly elliptic case in any dimension, the one-dimensional case and the Langevin (kinetic) case.
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Cited in
(26)- Discretizing advection equations with rough velocity fields on non-Cartesian grids
- Existence and uniqueness of degenerate SDEs with Hölder diffusion and measurable drift
- Strong uniqueness for SDEs in Hilbert spaces with nonregular drift
- Singular McKean-Vlasov SDEs: well-posedness, regularities and Wang's Harnack inequality
- Singular Brownian diffusion processes
- Stochastic Hamiltonian flows with singular coefficients
- Well-posedness of multidimensional diffusion processes with weakly differentiable coefficients
- Strong solutions of stochastic differential equations with square integrable drift
- Strong solutions to McKean-Vlasov SDEs with coefficients of Nemytskii-type
- Stochastic differential equations with critically irregular drift coefficients
- On the advection-diffusion equation with rough coefficients: weak solutions and vanishing viscosity
- Time-uniform log-Sobolev inequalities and applications to propagation of chaos
- A note on rough differential equations with unbounded coefficients
- Stochastic Lagrangian perturbation of Lie transport and applications to fluids
- On a construction of strong solutions for stochastic differential equations with non-Lipschitz coefficients: a priori estimates approach
- Strong convergence of the vorticity for the 2D Euler equations in the inviscid limit
- Strong solutions of some one-dimensional SDEs with random and unbounded drifts
- On the wellposedness of some McKean models with moderated or singular diffusion coefficient
- Pathwise uniqueness of non-uniformly elliptic SDEs with rough coefficients
- Transport equations and flows with one-sided Lipschitz velocity fields
- Strong solutions of semilinear stochastic partial differential equations
- Stability estimates for invariant measures of diffusion processes, with applications to stability of moment measures and Stein kernels
- Strong solutions of a stochastic differential equation with irregular random drift
- Analytic theory of Itô-stochastic differential equations with non-smooth coefficients
- Energy methods for stochastic differential equations
- Solutions statistiques fortes des équations différentielles stochastiques
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