On time inhomogeneous stochastic Itô equations with drift in L_D+1

DOI10.1007/S11253-021-01864-8MaRDI QIDQ2026650zbMATH OpenOpenAlexFDO

Authors N. V. Krylov

Publication date 20 May 2021

Published in Ukrainian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2005.08831

zbMATH Keywords

Itô stochastic equationssolvability

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: We prove the solvability of It^o stochastic equations with uniformly nondegenerate, bounded, measurable diffusion and drift in $L_{d+1}(mathbb{R}^{d+1})$. Actually, the powers of summability of the drift in $x$ and $t$ could be different. Our results seem to be new even if the diffusion is constant. The method of proving the solvability belongs to A.V. Skorokhod. Weak uniqueness of solutions is an open problem even if the diffusion is constant.

Review text

The author studies the solvability of Itô stochastic equations with a uniformly nondegenerate bounded measurable diffusion and drift in \(L_{d+1}(\mathbb{R}^d)\). The author proves the existence of weak solutions for the Itô stochastic equations. Furthermore, he proves the existence of strong Markov processes corresponding to the diffusion and drift with the properties indicated above. The main technical tools are collected in Section 4, where the author proves new mixed norm estimates for the distributions of semimartingales.

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Cited in

(30)

• On stochastic Itô processes with drift in \(L_d\)
• On stochastic equations with drift in \({L_d}\)
• On strong solutions of Itô's equations with \(\sigma\in W_{\mathtt{d}}^1\) and \(\mathtt{b}\in{L_{\mathtt{d}}}\)
• Existence of strong solutions for Itô's stochastic equations via approximations: revisited
• SDEs with critical time dependent drifts: weak solutions
• Some properties of solutions of Itô equations with drift in \(L_{d+1}\)
• On the asymptotic behavior of solutions of the Cauchy problem for parabolic equations with time periodic coefficients
• Stochastic equations with time-dependent singular drift
• Existence, uniqueness and ergodic properties for time-homogeneous Itô-SDEs with locally integrable drifts and Sobolev diffusion coefficients
• scientific article; zbMATH DE number 3907497 (Why is no real title available?)
• Regularity theory of Kolmogorov operator revisited
• On diffusion processes with drift in \(L_{d+1}\)
• On Nondegenerate Itô Processes with Moderated Drift
• On admissible singular drifts of symmetric α‐stable process
• On diffusion processes with drift in a Morrey class containing \(L_{d+2}\)
• On strong solutions of Itô's equations with D and b in Morrey classes containing L_d
• On a time-inhomogeneous diffusion process with discontinuous drift
• On potentials of Itô's processes with drift in \(L_{d+1}\)
• On the asymptotic behavior of solutions of the Cauchy problem for parabolic equations with time periodic coefficients
• Once again on weak solutions of time inhomogeneous Itô's equations with VMO diffusion and Morrey drift
• A note on weak existence for singular SDEs
• Maximum principle for non-uniformly parabolic equations and applications
• On weak and strong solutions of time inhomogeneous Itô's equations with VMO diffusion and Morrey drift
• Weak existence for SDEs with singular drifts and fractional Brownian or Lévy noise beyond the subcritical regime
• Some remarks on Itô stochastic processes
• SDEs with supercritical distributional drifts
• Solution theory of fractional SDEs in complete subcritical regimes
• Distribution-flow dependent SDEs driven by (fractional) Brownian motion and Navier-Stokes equations
• Non-uniqueness of (stochastic) Lagrangian trajectories for Euler equations
• Quasi-invariance of the stochastic flow associated to Itô's SDE with singular time-dependent drift

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