Singular SDEs with critical non-local and non-symmetric Lévy type generator

DOI10.1016/J.SPA.2017.03.014zbMATH Open1395.60066arXiv1610.07698OpenAlexW2539625436MaRDI QIDQ2409005FDOQ2409005

Longjie Xie

Publication date: 10 October 2017

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

Abstract: In this work, by using Levi's parametrix method we first construct the fundamental solution of the critical non-local operator perturbed by gradient. Then, we use the obtained estimates to prove the existence and uniqueness of strong solutions for stochastic differential equation driven by Markov process with irregular coefficients, whose generator is a non-local and non-symmetric L'evy type operator.

Full work available at URL: https://arxiv.org/abs/1610.07698

zbMATH Keywords

fundamental solutionnon-local operatorpathwise uniquenesssingular SDEs

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• On the Cauchy problem for integro-differential operators in Hölder classes and the uniqueness of the martingale problem
• Heat kernel estimates for stable-like processes on \(d\)-sets.
• On the differentiability of the solution to the Hamilton-Jacobi equation with critical fractional diffusion
• The Evans-Krylov theorem for nonlocal fully nonlinear equations
• Drift diffusion equations with fractional diffusion and the quasi-geostrophic equation
• Global uniform boundary Harnack principle with explicit decay rate and its application
• Heat kernel estimates for jump processes of mixed types on metric measure spaces
• Limit theorems for sequences of jump Markov processes approximating ordinary differential processes
• Strong solutions of stochastic equations with singular time dependent drift
• Estimates of heat kernel of fractional Laplacian perturbed by gradient operators
• Brownian motion with singular drift
• Equivalence of Stochastic Equations and Martingale Problems
• Fractional Laplacian with singular drift
• Stochastic flow for SDEs with jumps and irregular drift term
• Dirichlet heat kernel estimates for fractional Laplacian with gradient perturbation
• Random perturbation of PDEs and fluid dynamic models. École d'Été de Probabilités de Saint-Flour XL -- 2010
• Heat kernel estimates for critical fractional diffusion operators
• Strong solutions of SDEs with singular drift and Sobolev diffusion coefficients
• Pathwise uniqueness for singular SDEs driven by stable processes
• Variational representations for continuous time processes
• On the martingale problem associated with nondegenerate Lévy operators
• Large deviations for stochastic partial differential equations driven by a Poisson random measure
• Hölder Flow and Differentiability for SDEs with Nonregular Drift
• Uniqueness of stable processes with drift
• Sobolev differentiable flows of SDEs with local Sobolev and super-linear growth coefficients
• Comparison of Semi-Markov and Markov Processes
• Stochastic differential equations driven by stable processes for which pathwise uniqueness fails

Cited In (4)

• Gradient estimates for the fundamental solution of Lévy type operator
• Weak and strong well-posedness of critical and supercritical SDEs with singular coefficients
• Hölder estimates of mild solutions for nonlocal SPDEs
• Homogenization of non-symmetric jump processes

This page was built for publication: Singular SDEs with critical non-local and non-symmetric Lévy type generator

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2409005)