Sobolev differentiable flows of SDEs with local Sobolev and super-linear growth coefficients

DOI10.1214/15-AOP1057MaRDI QIDQ504243zbMATH OpenOpenAlexFDO

Authors Longjie Xie, Xicheng Zhang

Publication date 13 January 2017

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1407.5834

zbMATH Keywords

irreducibilityweak differentiabilityKrylov's estimateZvonkin's transformationstrong Feller differentiability

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: By establishing a characterization for Sobolev differentiability of random fields, we prove the weak differentiability of solutions to stochastic differential equations with local Sobolev and super-linear growth coefficients with respect to the starting point. Moreover, we also study the strong Feller property and the irreducibility of the associated diffusion semigroup.

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Cited in

(24)

• Well-posedness and long time behavior of singular Langevin stochastic differential equations
• Differentiability of SDEs with drifts of super-linear growth
• Generalized stochastic flow associated to the Itô SDE with partially Sobolev coefficients and its application
• Well-posedness of SDEs with drifts in mixed-norm spaces and driven by mixed-noises
• Stability estimates for invariant measures of diffusion processes, with applications to stability of moment measures and Stein kernels
• \(L^q(L^p)\)-theory of stochastic differential equations
• Reflected Brownian motion with singular drift
• Pathwise uniqueness for a class of SPDEs driven by cylindrical \(\alpha \)-stable processes
• The perfection of local semi-flows and local random dynamical systems with applications to SDEs
• Stochastic differential equations with local growth singular drifts
• Degenerate SDEs with singular drift and applications to Heisenberg groups
• Regime-switching diffusion processes: strong solutions and strong Feller property
• On some applications of Sobolev flows of SDEs with unbounded drift coefficients
• Weak convergence of Euler scheme for SDEs with low regular drift
• Ergodicity of stochastic differential equations with jumps and singular coefficients
• Existence and uniqueness of solutions of SDEs with discontinuous drift and finite activity jumps
• Stochastic differential equations with critical drifts
• Degenerate SDE with Hölder-Dini drift and non-Lipschitz noise coefficient
• A Zvonkin's transformation for stochastic differential equations with singular drift and applications
• Stochastic Hamiltonian flows with singular coefficients
• Strong solutions to reflecting stochastic differential equations with singular drift
• Existence, uniqueness and ergodic properties for time-homogeneous Itô-SDEs with locally integrable drifts and Sobolev diffusion coefficients
• Singular SDEs with critical non-local and non-symmetric Lévy type generator
• Exponential ergodicity for stochastic Langevin equation with partial dissipative drift

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