Strong solutions to stochastic differential equations with rough coefficients

DOI10.1214/17-AOP1208zbMATH Open1451.60091arXiv1303.2611OpenAlexW2141107216WikidataQ129987229 ScholiaQ129987229MaRDI QIDQ1647735FDOQ1647735

Authors: Nicolas Champagnat, Pierre-Emmanuel Jabin 

Publication date: 26 June 2018

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: We study strong existence and pathwise uniqueness for stochastic differential equations in $R{R}^d$ 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 $L^p$ 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.

Full work available at URL: https://arxiv.org/abs/1303.2611

Recommendations

• Pathwise uniqueness of non-uniformly elliptic SDEs with rough coefficients
• Strong solutions of SDEs with singular drift and Sobolev diffusion coefficients
• Existence and uniqueness of martingale solutions for SDEs with rough or degenerate coefficients
• On the prevalence of stochastic differential equations with unique strong solutions
• On a strong uniqueness of solutions of degenerate stochastic differential equations

zbMATH Keywords

Fokker-Planck equationstochastic differential equationsstrong solutionsmaximal operatorpathwise uniquenessdegenerate diffusion matrixkinetic stochastic differential equationsrough diffusion matrixrough drift

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Second-order parabolic equations (35K10)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Ordinary differential equations, transport theory and Sobolev spaces
• Existence and uniqueness of martingale solutions for SDEs with rough or degenerate coefficients
• The heat equation in \(L_{q}((0,T),L_{p})\)-spaces with weights
• Estimates and regularity results for the DiPerna-Lions flow
• Title not available (Why is that?)
• Title not available (Why is that?)
• On stochastic differential equations
• Transport equation and Cauchy problem for BV vector fields
• Well-posedness of the transport equation by stochastic perturbation
• On the uniqueness of solutions of stochastic differential equations
• Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part III)
• Strong solutions of stochastic equations with singular time dependent drift
• ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS
• A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT
• Pathwise uniqueness and continuous dependence for SDEs with non-regular drift
• Existence and Uniqueness of Solutions to Fokker–Planck Type Equations with Irregular Coefficients
• Weak uniqueness of Fokker-Planck equations with degenerate and bounded coefficients
• Strong solutions of SDEs with singular drift and Sobolev diffusion coefficients
• Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part I)
• Well posedness in any dimension for Hamiltonian flows with non BV force terms
• Stochastic homeomorphism flows of SDEs with singular drifts and Sobolev diffusion coefficients
• Stochastic flows of SDEs with irregular coefficients and stochastic transport equations
• An Inequality in the Theory of Stochastic Integrals
• Renormalized solutions of some transport equations with partially \(W^{1,1}\) velocities and applications
• Differential equations with singular fields
• Title not available (Why is that?)
• On the uniqueness of solutions of stochastic differential equations. II
• Well-posedness and large deviation for degenerate SDEs with Sobolev coefficients
• Hölder flow and differentiability for SDEs with nonregular drift
• A variational approach to the construction and Malliavin differentiability of strong solutions of SDEs
• On multi-dimensional SDEs with locally integrable coefficients
• On existence and stability of weak solutions of multidimensional stochastic differential equations with measurable coefficients
• SOME ESTIMATES OF THE PROBABILITY DENSITY OF A STOCHASTIC INTEGRAL
• ON EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC EQUATIONS
• Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part II)
• Title not available (Why is that?)
• On multidimensional SDEs without drift and with a time-dependent diffusion matrix

Cited In (26)

• Singular McKean-Vlasov SDEs: well-posedness, regularities and Wang's Harnack inequality
• Existence and uniqueness of degenerate SDEs with Hölder diffusion and measurable drift
• Strong uniqueness for SDEs in Hilbert spaces with nonregular drift
• Singular Brownian diffusion processes
• Stability estimates for invariant measures of diffusion processes, with applications to stability of moment measures and Stein kernels
• Discretizing advection equations with rough velocity fields on non-Cartesian grids
• Strong solutions of semilinear stochastic partial differential equations
• Analytic theory of Itô-stochastic differential equations with non-smooth coefficients
• Well-posedness of multidimensional diffusion processes with weakly differentiable coefficients
• Energy methods for stochastic differential equations
• Strong solutions to McKean-Vlasov SDEs with coefficients of Nemytskii-type
• Stochastic differential equations with critically irregular drift coefficients
• On the wellposedness of some McKean models with moderated or singular diffusion coefficient
• Strong convergence of the vorticity for the 2D Euler equations in the inviscid limit
• Stochastic Hamiltonian flows with singular coefficients
• Solutions statistiques fortes des équations différentielles stochastiques
• Stochastic Lagrangian perturbation of Lie transport and applications to fluids
• Pathwise uniqueness of non-uniformly elliptic SDEs with rough coefficients
• On a construction of strong solutions for stochastic differential equations with non-Lipschitz coefficients: a priori estimates approach
• Strong solutions of some one-dimensional SDEs with random and unbounded drifts
• Time-uniform log-Sobolev inequalities and applications to propagation of chaos
• Transport equations and flows with one-sided Lipschitz velocity fields
• Strong solutions of stochastic differential equations with square integrable drift
• Strong solutions of a stochastic differential equation with irregular random drift
• A note on rough differential equations with unbounded coefficients
• On the advection-diffusion equation with rough coefficients: weak solutions and vanishing viscosity

This page was built for publication: Strong solutions to stochastic differential equations with rough coefficients

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1647735)