Existence and uniqueness of degenerate SDEs with Hölder diffusion and measurable drift

DOI10.1016/J.JMAA.2019.123679zbMATH Open1471.60091arXiv1805.05526OpenAlexW2987835034MaRDI QIDQ2287281FDOQ2287281

Authors: Zhen Wang, Xicheng Zhang 

Publication date: 20 January 2020

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Abstract: In this paper we prove a new strong uniqueness result and a weak existence result for possibly {it degenerate} multidimensional stochastic differential equations with Sobolev diffusion coefficients and rough drifts. In particular, examples with H"older diffusion coefficients are provided to show our results.

Full work available at URL: https://arxiv.org/abs/1805.05526

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zbMATH Keywords

pathwise uniquenessKrylov's estimatemultidimensional SDE

Mathematics Subject Classification ID

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

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Cited In (13)

• Strong existence and uniqueness for degenerate SDE with Hölder drift
• On the martingale problem for degenerate-parabolic partial differential operators with unbounded coefficients and a mimicking theorem for Itô processes
• Well-posedness and large deviation for degenerate SDEs with Sobolev coefficients
• Degenerate SDEs with singular drift and applications to Heisenberg groups
• On weak uniqueness for some degenerate SDEs by global \(L^p\) estimates
• Degenerate SDE with Hölder-Dini drift and non-Lipschitz noise coefficient
• Weak regularization by stochastic drift: result and counter example
• Maximum principle for non-uniformly parabolic equations and applications
• Hölder continuous densities of solutions of SDEs with measurable and path dependent drift coefficients
• On the existence of solutions of a class of SDEs with discontinuous drift and singular diffusion
• Existence, uniqueness and ergodic properties for time-homogeneous Itô-SDEs with locally integrable drifts and Sobolev diffusion coefficients
• Strong regularization by Brownian noise propagating through a weak Hörmander structure
• On Davie's uniqueness for some degenerate SDEs

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