Weak uniqueness for SDEs driven by supercritical stable processes with Hölder drifts

DOI10.1090/PROC/14293MaRDI QIDQ4644468zbMATH OpenOpenAlexFDO

Authors Guohuan Zhao

Publication date 7 January 2019

Published in Proceedings of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1711.05005

zbMATH Keywords

\(\alpha\)-stable processmartingale problemstochastic differential equationviscosity solution

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: In this paper, we investigate stochastic differential equations(SDEs) driven by a class of supercritical $alpha$-stable process(including the rotational symmetric $alpha-$stable process) with drift $b$. The weak well-posedness is proved, provided that the $(1-alpha)$-H"older semi-norm of $b$ is sufficient small.

Recommendations

• Supercritical SDEs driven by multiplicative stable-like Lévy processes
• Pathwise uniqueness for singular SDEs driven by stable processes
• Well-posedness of some non-linear stable driven SDEs
• Distribution-dependent SDEs with Hölder continuous drift and -stable noise
• Strong existence and uniqueness for stable stochastic differential equations with distributional drift

Cites work

• scientific article; zbMATH DE number 2237386 (Why is no real title available?)
• Hölder continuity of solutions of second-order non-linear elliptic integro-differential equations
• Large deviations for stochastic processes.
• On the differentiability of the solution to an equation with drift and fractional diffusion
• Pathwise uniqueness for singular SDEs driven by stable processes
• Perturbation of drift-type for Levy processes
• Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
• Stochastic differential equations with Sobolev drifts and driven by -stable processes
• Stochastic flow for SDEs with jumps and irregular drift term
• Uniqueness of stable processes with drift
• User’s guide to viscosity solutions of second order partial differential equations
• Viscosity methods giving uniqueness for martingale problems

Cited in

(15)

• Weak regularization by stochastic drift: result and counter example
• Regularity properties of jump diffusions with irregular coefficients
• Heat kernel of supercritical nonlocal operators with unbounded drifts
• Some properties of solutions of Itô equations with drift in \(L_{d+1}\)
• Existence of (Markovian) solutions to martingale problems associated with Lévy-type operators
• Hitting properties and non-uniqueness for SDEs driven by 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
• Well-posedness of density dependent SDE driven by \(\alpha \)-stable process with Hölder drifts
• Weak well-posedness for a class of degenerate Lévy-driven SDEs with Hölder continuous coefficients
• On the supercritical fractional diffusion equation with Hardy-type drift
• Form-boundedness and SDEs with singular drift
• Stochastic differential equations with Hölder-Dini drift and driven by -stable processes
• Non-local parabolic equations with singular (Morrey) time-inhomogeneous drift

This page was built for publication: Weak uniqueness for SDEs driven by supercritical stable processes with Hölder drifts

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4644468)