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

DOI10.1080/17442508.2017.1357723zbMATH Open1498.60228arXiv1605.02820OpenAlexW2963568084MaRDI QIDQ5085841FDOQ5085841

Authors: Dejun Luo 

Publication date: 30 June 2022

Published in: Stochastics (Search for Journal in Brave)

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.

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

Recommendations

• Generalized stochastic flow associated to the Itô SDE with partially Sobolev coefficients and its application
• Well-posedness and large deviation for degenerate SDEs with Sobolev coefficients
• Degenerate irregular SDEs with jumps and application to integro-differential equations of Fokker-Planck type
• Existence and uniqueness of martingale solutions for SDEs with rough or degenerate coefficients
• Stochastic flows of SDEs with irregular coefficients and stochastic transport equations

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)

Cites Work

• Ordinary differential equations, transport theory and Sobolev spaces
• Existence and uniqueness of martingale solutions for SDEs with rough or degenerate coefficients
• Lagrangian flows for vector fields with gradient given by a singular integral
• Estimates and regularity results for the DiPerna-Lions flow
• Transport equation and Cauchy problem for BV vector fields
• Well-posedness of the transport equation by stochastic perturbation
• Sobolev spaces on an arbitrary metric space
• Flows associated with irregular \(\mathbb R^d\)-vector fields
• The flow associated to weakly differentiable vector fields: recent results and open problems
• Title not available (Why is that?)
• Transport equations and quasi-invariant flows on the Wiener space
• On flows associated to Sobolev vector fields in Wiener spaces: An approach à la DiPerna-Lions
• Strong solutions of stochastic equations with singular time dependent drift
• Title not available (Why is that?)
• A study of a class of stochastic differential equations with non-Lipschitzian coefficients
• The canonic diffusion above the diffeomorphism group of the circle
• Heat semi-group and generalized flows on complete Riemannian manifolds
• Well-posedness of multidimensional diffusion processes with weakly differentiable coefficients
• Existence and Uniqueness of Solutions to Fokker–Planck Type Equations with Irregular Coefficients
• Uniqueness of solutions to weak parabolic equations for measures
• On uniqueness of solutions to the Cauchy problem for degenerate Fokker-Planck-Kolmogorov equations
• Weak uniqueness of Fokker-Planck equations with degenerate and bounded coefficients
• Stochastic flows of SDEs with irregular coefficients and stochastic transport equations
• Fokker-Planck-Kolmogorov equations
• Canonical Brownian motion on the diffeomorphism group of the circle
• Compactness of embeddings of Sobolev type on metric measure spaces
• Uniqueness problems for degenerate Fokker-Planck-Kolmogorov equations
• A class of stochastic differential equations with non-Lipschitzian coefficients: Pathwise uniqueness and no explosion
• Well-posedness and large deviation for degenerate SDEs with Sobolev coefficients
• Hölder flow and differentiability for SDEs with nonregular drift
• Uniqueness of degenerate Fokker-Planck equations with weakly differentiable drift whose gradient is given by a singular integral
• Stochastic differential equations with coefficients in Sobolev spaces
• Stochastic flows for SDEs with non-Lipschitz coefficient.
• Lagrangian flows driven by \(BV\) fields in Wiener spaces
• Generalized stochastic flow associated to the Itô SDE with partially Sobolev coefficients and its application
• Multiphase averaging for generalized flows on manifolds
• Quasi-invariant stochastic flows of SDEs with non-smooth drifts on compact manifolds
• Modulus of continuity of the canonic Brownian motion ``on the group of diffeomorphisms of the circle
• Freidlin-Wentzell's large deviations for homeomorphism flows of non-Lipschitz SDEs
• Generalized Sobolev classes on metric measure spaces
• Fokker-Planck type equations with Sobolev diffusion coefficients and BV drift coefficients
• Gradient estimates and applications for SDEs in Hilbert space with multiplicative noise and Dini continuous drift
• Homeomorphic flows for multi-dimensional SDEs with non-Lipschitz coefficients
• Solving stochastic differential equations on \(\text{Homeo}(S^1\))
• A unified treatment for ODEs under Osgood and Sobolev type conditions

Cited In (5)

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

This page was built for publication: The Itô SDEs and Fokker-Planck equations with Osgood and Sobolev coefficients

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5085841)