A Wong-Zakai theorem for SDEs with singular drift
The authors studied stochastic differential equations with multiplicative Stratonovich-type noise as follows \[ dX_{t}=b(X_{t})dt+\sigma(X_{t})\circ dW_{t},\ X_{0}=x_{0}\in\mathbb{R}^{d},\ t\geq0, \] where the singular drift \(b\in L^{p}(\mathbb{R}^{d}), p>d\) and \(p\geq 2\). Wong-Zakai approximations bridge the gap between the ODE and the SDE world. Via Wong-Zakai approximations, many author studied numerics or the limiting behavior of SDEs. All known results treat SDEs with regular coefficients, i.e. \(\sigma\) and \(b\) were assumed to be Lipschitz continuous. In this article, the authors studied singular SDEs, i.e. the coefficients in the SDE might not be continuous at all but only belong to some \(L^{p}\)-space with \(p>d\). They show that such SDEs can be approximated by random ordinary differential equations by smoothing the noise and the singular drift at the same time. They proved a support theorem for this class of SDEs using the Girsanov theorem.
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