Stochastic Hamiltonian flows with singular coefficients

DOI10.1007/S11425-017-9127-0MaRDI QIDQ1788773zbMATH OpenOpenAlexWikidataFDO

Authors Xicheng Zhang

Publication date 8 October 2018

Published in Science China. Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1606.04360

zbMATH Keywords

weak differentiabilityKrylov's estimateZvonkin's transformationstochastic Hamiltonian systemkinetic Fokker-Planck operator

Mathematics Subject Classification ID

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

Abstract: In this paper we study the following stochastic Hamiltonian system in ${mathbbR}^{2d}$ (a second order stochastic differential equation), ${\displaystyle }$ d dot X_t=b(X_t,dot X_t)d t+sigma(X_t,dot X_t)d W_t, (X_0,dot X_0)=(x,v)in{mathbb R}^{2d}, ${\displaystyle }$ where $b(x,v):{mathbbR}^{2d}o{mathbbR}^d$ and $sigma(x,v):{mathbbR}^{2d}o{mathbbR}^{d}otimes{mathbbR}^d$ are two Borel measurable functions. We show that if $sigma$ is bounded and uniformly non-degenerate, and $bin{H}_p^{2/3,0}$ and $ablasigmain{L}^p$ for some $p>2(2d+1)$, where $$ is the Bessel potential space with differentiability indices $alpha$ in $x$ and $$ in $v$, then the above stochastic equation admits a unique strong solution so that $(x,v)mapsto{Z}_t(x,v):=(X_t,dot{X}_t)(x,v)$ forms a stochastic homeomorphism flow, and $(x,v)mapsto{Z}_t(x,v)$ is weakly differentiable with ess.$su{p}_{x,v}Eleft(su{p}_{tin[0,T]}|abla{Z}_t(x,v){|}^{q}ight)<infty$ for all $qgeq1$ and $Tgeq0$. Moreover, we also show the uniqueness of probability measure-valued solutions for kinetic Fokker-Planck equations with rough coefficients by showing the well-posedness of the associated martingale problem and using the superposition principle established by Figalli cite{Fi} and Trevisan cite{Tre}.

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Cited in

(23)

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• Sharp Schauder estimates for some degenerate Kolmogorov equations
• Weak regularization by stochastic drift: result and counter example
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• On Davie's uniqueness for some degenerate SDEs
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• Quantitative stability estimates for Fokker-Planck equations
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• Fundamental solution of kinetic Fokker-Planck operator with anisotropic nonlocal dissipativity

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