The Itô SDEs and Fokker-Planck equations with Osgood and Sobolev coefficients

DOI10.1080/17442508.2017.1357723MaRDI QIDQ5085841zbMATH OpenOpenAlexFDO

Authors Dejun Luo

Publication date 30 June 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1605.02820

zbMATH Keywords

stochastic differential equationFokker-Planck equationstochastic flowDiPerna-Lions theoryOsgood and Sobolev condition

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fokker-Planck equations (35Q84) PDEs with randomness, stochastic partial differential equations (35R60)

Abstract: We study the degenerated It^o SDE on $mathbb{R}^d$ whose drift coefficient only fulfills a mixed Osgood and Sobolev regularity. Under suitable assumptions on the gradient of the diffusion coefficient and on the divergence of the drift coefficient, we prove the existence and uniqueness of generalized stochastic flows associated to such equations. We also prove the uniqueness of solutions to the corresponding Fokker--Planck equation by using the probabilistic method.

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Cited in

(5)

• Generalized stochastic flow associated to the Itô SDE with partially Sobolev coefficients and its application
• Degenerate irregular SDEs with jumps and application to integro-differential equations of Fokker-Planck type
• Well-posedness and large deviation for degenerate SDEs with Sobolev coefficients
• On the Ambrosio-Figalli-Trevisan superposition principle for probability solutions to Fokker-Planck-Kolmogorov equations
• SDEs with random and irregular coefficients

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