Existence, uniqueness and ergodic properties for time-homogeneous It\^o-SDEs with locally integrable drifts and Sobolev diffusion coefficients

DOI10.2748/TMJ.20200218MaRDI QIDQ6289749arXivWikidataFDO

Publication date 3 August 2017

Markov semigroups and applications to diffusion processes (47D07) Diffusion processes (60J60) Smoothness and regularity of solutions to PDEs (35B65) Dirichlet forms (31C25) Transition functions, generators and resolvents (60J35) Stochastic integral equations (60H20)

Abstract: Using elliptic and parabolic regularity results in

L^{p}

-spaces and generalized Dirichlet form theory, we construct for every starting point weak solutions to SDEs in

m a t h b b R^{d}

up to their explosion times including the following conditions. For arbitrary but fixed

p > d

the diffusion coefficient

A = (a_{i j})_{1 l e i, j l e d}

is locally uniformly strictly elliptic with functions

a_{i j} i n H_{l o c}^{1, p} (m a t h b b R^{d})

and the drift coefficient

m a t h b f G = (g_{1}, d o t s, g_{d})

consists of functions

g_{i} i n L_{l o c}^{p} (m a t h b b R^{d})

. The solution originates by construction from a Hunt process with continuous sample paths on the one-point compactification of

m a t h b b R^{d}

and the corresponding SDE is by a known local well-posedness result pathwise unique up to an explosion time. Just under the given assumptions we show irreducibility and the strong Feller property on

L^{1} (m a t h b b R^{d}, m) + L^{i n f t y} (m a t h b b R^{d}, m)

of its transition function, and the strong Feller property on

L^{q} (m a t h b b R^{d}, m) + L^{i n f t y} (m a t h b b R^{d}, m)

,

q = f r a c d p d + p i n (d / 2, p / 2)

, of its resolvent, which both include the classical strong Feller property. We present moment inequalities and classical-like non-explosion criteria for the solution which lead to pathwise uniqueness results up to infinity under presumably optimal general non-explosion conditions. We further present explicit conditions for recurrence and ergodicity, including existence as well as uniqueness of invariant probability measures.

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