Stochastic differential equations with coefficients in Sobolev spaces

DOI10.1016/J.JFA.2010.02.014MaRDI QIDQ984414zbMATH OpenOpenAlexFDO

Authors Shizan Fang, Anton Thalmaier, Dejun Luo

Publication date 19 July 2010

Published in Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1001.3007, http://orbilu.uni.lu/handle/10993/13696

zbMATH Keywords

Gaussian measurestochastic flowspathwise uniquenessdensity estimateOrnstein-Uhlenbeck semigroupSobolev space coefficients

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: We consider It^o SDE $d{X}_t=su{m}_{j=1}^m{A}_j(X_t)d{w}_t^j+A_0(X_t)dt$ on $R^d$. The diffusion coefficients $A_1,\mathrm{...},A_m$ are supposed to be in the Sobolev space $W_{e}xt{loc}^{1,p}(R^d)$ with $p>d$, and to have linear growth; for the drift coefficient $A_0$, we consider two cases: (i) $A_0$ is continuous whose distributional divergence $delta(A_0)$ w.r.t. the Gaussian measure $gamm{a}_d$ exists, (ii) $A_0$ has the Sobolev regularity $W_{e}xt{loc}^{1,p^{\prime }}$ for some $p^{\prime }>1$. Assume $$ for some $lambd{a}_0>0$, in the case (i), if the pathwise uniqueness of solutions holds, then the push-forward $$ admits a density with respect to $gamm{a}_d$. In particular, if the coefficients are bounded Lipschitz continuous, then $X_t$ leaves the Lebesgue measure $Le{b}_d$ quasi-invariant. In the case (ii), we develop a method used by G. Crippa and C. De Lellis for ODE and implemented by X. Zhang for SDE, to establish the existence and uniqueness of stochastic flow of maps.

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