Stochastic differential equations with critical drifts

DOI10.1016/J.SPA.2020.03.010zbMATH Open1447.35403arXiv1802.00074OpenAlexW3014653104WikidataQ115341139 ScholiaQ115341139MaRDI QIDQ2196371FDOQ2196371

Authors: Kyeongsik Nam 

Publication date: 2 September 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We establish the well-posedness of SDE with the additive noise when a singular drift belongs to the critical spaces. We prove that if the drift belongs to the Orlicz-critical space $L^{q,1}([0,T],L_x^p)$ for $p,qin(1,infty)$ satisfying $frac2q+fracdp=1$, then the corresponding SDE admits a unique strong solution. We also derive the Sobolev regularity of a solution under the Orlicz-critical condition.

Full work available at URL: https://arxiv.org/abs/1802.00074

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zbMATH Keywords

Lorentz spaces

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Second-order parabolic equations (35K10) PDEs with low regular coefficients and/or low regular data (35R05) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic integrals (60H05)

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Cited In (29)

• Feller generators and stochastic differential equations with singular (form-bounded) drift
• Stochastic ODEs and stochastic linear PDEs with critical drift: regularity, duality and uniqueness
• Well-posedness and long time behavior of singular Langevin stochastic differential equations
• Well-posedness of SDEs with drifts in mixed-norm spaces and driven by mixed-noises
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