Weak and strong well-posedness of critical and supercritical SDEs with singular coefficients

DOI10.1016/J.JDE.2023.03.007MaRDI QIDQ6042662zbMATH OpenOpenAlexFDO

Authors Renming Song, Longjie Xie

Publication date 3 May 2023

Published in Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1806.09033

zbMATH Keywords

Krylov's estimatemartingale problempathwise uniquenessstable-like processessupercriticalZvonkin's transform

Mathematics Subject Classification ID

Integro-partial differential equations (35R09) Stable stochastic processes (60G52) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: Consider the following time-dependent stable-like operator with drift ${\displaystyle }$ mathscr{L}_tvarphi(x)=int_{mathbb{R}^d}�ig[varphi(x+z)-varphi(x)-z^{(alpha)}cdot

ablavarphi(x)�ig]sigma(t,x,z) u_alpha(d z)+b(t,x)cdot

abla varphi(x), ${\displaystyle }$ where $dgeq1$, $u_{a}lpha$ is an $alpha$-stable type L'evy measure with $alphain(0,1]$ and $z^{(alpha)}=1_{alpha=1}{1}_{|z|leq1}z$, $sigma$ is a real-valued Borel function on $mathbb{R}_{+}imesmathbb{R}^{d}imesmathbb{R}^d$ and $b$ is an $mathbb{R}^d$-valued Borel function on $mathbb{R}_{+}imesmathbb{R}^d$. By using the Littlewood-Paley theory, we establish the well-posedness for the martingale problem associated with $mathscr{L}_t$ under the sharp balance condition $$, where $$ is the H"older index of $b$ with respect to $x$. Moreover, we also study a class of stochastic differential equations driven by Markov processes with generators of the form $mathscr{L}_t$. We prove the pathwise uniqueness of strong solutions for such equations when the coefficients are in certain Besov spaces.

Review text

The authors consider the time-dependent stable-like operator \(\mathcal L_t\) with drift. Applying the Littlewood-Paley theory, they establish the well-posedness for the martingale problem associated with \(\mathcal L_t\), under a sharp balance condition. They also prove the pathwise uniqueness of strong solutions for stochastic differential equations driven by Markov processes with generators of the form \(\mathcal L_t\), when the coefficients are in certain Besov spaces.

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Cited in

(6)

• Schauder estimates for nonlocal equations with singular Lévy measures
• Stochastic differential equations with singular coefficients: the martingale problem view and the stochastic dynamics view
• Form-boundedness and SDEs with singular drift
• Non-local parabolic equations with singular (Morrey) time-inhomogeneous drift
• Averaging principle for SDEs with singular drifts driven by -stable processes
• Strong well-posedness of McKean-Vlasov SDEs driven by -stable processes

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