Strong existence and uniqueness for degenerate SDE with Hölder drift
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Publication:520779
DOI10.1214/15-AIHP716zbMATH Open1434.60137arXiv1205.6688MaRDI QIDQ520779FDOQ520779
Authors: P. E. Chaudru de Raynal 
Publication date: 6 April 2017
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Abstract: In this paper, we prove pathwise uniqueness for stochastic degenerate systems with a H{"o}lder drift, for a H{"o}lder exponent larger than the critical value 2/3. This work extends to the degenerate setting the earlier results obtained by Zvonkin, Veretennikov, Krylov and R{"o}ckner from non-degenerate to degenerate cases. The existence of a threshold for the H{"o}lder exponent in the degenerate case may be understood as the price to pay to balance the degeneracy of the noise. Our proof relies on regularization properties of the associated PDE, which is degenerate in the current framework and is based on a parametrix method.
Full work available at URL: https://arxiv.org/abs/1205.6688
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Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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