On weak solutions of SDEs with singular time-dependent drift and driven by stable processes

DOI10.1142/S0219493718500132MaRDI QIDQ4598557zbMATH OpenOpenAlexFDO

Authors Peng Jin

Publication date 21 December 2017

Published in Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1512.02689

zbMATH Keywords

martingale problemresolventsingular driftstable processstochastic differential equationweak solution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Transition functions, generators and resolvents (60J35)

Abstract: Let $dge2$. In this paper, we study weak solutions for the following type of stochastic differential equation [ dX_{t}=dS_{t}+b(s+t, X_{t})dt, quad X_{0}=x, ] where $(s,x)inmathbb{R}_{+}imesmathbb{R}^d$ is the initial starting point, $b:mathbb{R}_{+}imesmathbb{R}^{d}omathbb{R}^d$ is measurable, and $S=(S_t{)}_{tge0}$ is a $d$-dimensional $alpha$-stable process with index $alphain(1,2)$. We show that if the $alpha$-stable process $S$ is non-degenerate and $bin{L}_{loc}^{infty}(mathbb{R}_{+};L^{infty}(mathbb{R}^d))+L_{loc}^q(mathbb{R}_{+};L^p(mathbb{R}^d))$ for some $p,q>0$ with $d/p+alpha/q<alpha-1$, then the above SDE has a unique weak solution for every starting point $(s,x)inmathbb{R}_{+}imesmathbb{R}^d$.

Recommendations

• SDEs with critical time dependent drifts: weak solutions
• Strong solutions of stochastic equations with singular time dependent drift
• Strong solutions of SDEs with singular drift and Sobolev diffusion coefficients
• On the existence of solutions of stochastic differential equations with singular drifts
• Weak well-posedness of multidimensional stable driven SDEs in the critical case
• On weak solution of SDE driven by inhomogeneous singular Lévy noise
• scientific article; zbMATH DE number 1292912
• Stochastic equations with time-dependent singular drift
• Sur l'unicite forte des solutions d'une equation differentielle stochastique avec drift singulier dependant du temps en dimension un
• Well-posedness of distribution dependent SDEs with singular drifts

Cites work

• A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT
• Asymptotic estimates of multi-dimensional stable densities and their applications
• Brownian motion with singular drift
• Brownian motion with singular time-dependent drift
• Estimates of heat kernel of fractional Laplacian perturbed by gradient operators
• scientific article; zbMATH DE number 3651506 (Why is no real title available?)
• scientific article; zbMATH DE number 3793161 (Why is no real title available?)
• scientific article; zbMATH DE number 50233 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Multidimensional diffusion processes.
• On multidimensional stable processes with locally unbounded drift
• On the construction and Malliavin differentiability of solutions of Lévy noise driven SDE's with singular coefficients
• On the martingale problem for generators of stable processes with perturbations
• PARABOLIC PSEUDODIFFERENTIAL EQUATIONS, HYPERSINGULAR INTEGRALS, AND MARKOV PROCESSES
• Pathwise uniqueness for singular SDEs driven by stable processes
• Some perturbations of drift-type for symmetric stable processes
• Stable process with singular drift
• Stochastic differential equations with Sobolev drifts and driven by -stable processes
• Stochastic equations with time-dependent drift driven by Lévy processes
• Stochastic flows for Lévy processes with Hölder drifts
• Stochastic homeomorphism flows of SDEs with singular drifts and Sobolev diffusion coefficients
• Strong solutions of stochastic equations with singular time dependent drift
• The Novikov and entropy conditions of multidimensional diffusion processes with singular drift
• Uniqueness of stable processes with drift
• Well-posedness of the transport equation by stochastic perturbation

Cited in

(11)

• Distribution-dependent SDEs with Hölder continuous drift and -stable noise
• Weak differentiability of solutions to SDEs with semi-monotone drifts
• On multidimensional stable-driven stochastic differential equations with Besov drift
• On weak solution of SDE driven by inhomogeneous singular Lévy noise
• On solutions of equations with measurable coefficients driven by \(\alpha\)- stable processes
• Weak well-posedness of multidimensional stable driven SDEs in the critical case
• Supercritical SDEs driven by multiplicative stable-like Lévy processes
• Weak and strong well-posedness of critical and supercritical SDEs with singular coefficients
• On admissible singular drifts of symmetric α‐stable process
• Weak well-posedness for a class of degenerate Lévy-driven SDEs with Hölder continuous coefficients
• Weak existence for SDEs with singular drifts and fractional Brownian or Lévy noise beyond the subcritical regime

This page was built for publication: On weak solutions of SDEs with singular time-dependent drift and driven by stable processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4598557)