On strong solutions of Itô's equations with W_d^1 and bL_d

DOI10.1214/21-AOP1525zbMATH Open1497.60076arXiv2007.06040OpenAlexW4200304685MaRDI QIDQ2072091FDOQ2072091

Authors: N. V. Krylov 

Publication date: 1 February 2022

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

Abstract: We consider It^o uniformly nondegenerate equations with time independent coefficients, the diffusion coefficient in $W_{d,loc}^1$, and the drift in $L_d$. We prove the unique strong solvability for any starting point and prove that as a function of the starting point the solutions are H"older continuous with any exponent $<1$. We also prove that if we are given a sequence of coefficients converging in an appropriate sense to the original ones, then the solutions of approximating equations converge to the solution of the original one.

Full work available at URL: https://arxiv.org/abs/2007.06040

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zbMATH Keywords

strong solutionsmartingale problemsingular coefficientsvanishing mean oscillation

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (17)

• Title not available (Why is that?)
• On strong solutions of Itô's equations with \(D \sigma\) and \(b\) in Morrey classes containing \(L_d\)
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• Stochastic differential equations with local growth singular drifts
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• ON EXPLICIT STRONG SOLUTION OF ITÔ–SDE'S AND THE DONSKER DELTA FUNCTION OF A DIFFUSION
• SDEs with critical time dependent drifts: weak solutions
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• Convergence rate of the Euler-Maruyama scheme applied to diffusion processes with \(L^q - L^{\rho}\) drift coefficient and additive noise

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