Journal article 1175 views
On weak solutions of stochastic differential equations with sharp drift coefficients
Jinlong Wei ,
Guangying Lv ,
Jiang-lun Wu 
Swansea University Author:
Jiang-lun Wu
Abstract
We extend Krylov and R\"{o}ckner's result \cite{KR} to the drift coefficients in critical Lebesgue space, and prove the existence and uniqueness of weak solutions for a class of stochastic differential equations (SDEs for short). To be more precise, let $b: [0,T]\times{\mathbb R}^d\rightar...
| Published: |
2017
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| Online Access: |
https://arxiv.org/abs/1711.05058 |
| URI: | https://cronfa.swan.ac.uk/Record/cronfa36768 |
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| Abstract: |
We extend Krylov and R\"{o}ckner's result \cite{KR} to the drift coefficients in critical Lebesgue space, and prove the existence and uniqueness of weak solutions for a class of stochastic differential equations (SDEs for short). To be more precise, let $b: [0,T]\times{\mathbb R}^d\rightarrow{\mathbb R}^d$ be Borel measurable, where $T>0$ is arbitrarily fixed. Consider $$X_t=x+\int_0^tb(s,X_s)ds+W_t,\quad t\in[0,T], \, x\in\mathbb{R}^d,$$where $\{W_t\}_{t\in[0,T]}$ is a $d$-dimensional standard Wiener process. If $b=b_1+b_2$ such that $b_1(T-\cdot)\in\cC_q^0((0,T];L^p(\mR^d))$ with $2/q+d/p=1$ for $p,q\ge1$ and $\|b_1(T-\cdot)\|_{\cC_q((0,T];L^p(\mR^d))}$ is sufficiently small, and that $b_2$ is bounded and Borel measurable, then there exits a unique weak solution to the above equation. Furthermore, we obtain the strong Feller property of the semi-group and existence of density associated with above SDE. Besides, we extend the classical partial differential equations (PDEs) results for $L^q(0,T;L^p(\mR^d))$ coefficients to $L^\infty_q(0,T;L^p(\mR^d))$ ones, and derive the Lipschitz regularity for solutions of second order parabolic PDEs (see Lemma \ref{lem2.1}). |
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| Keywords: |
Existence, uniqueness, weak solution, SDEs with irregular drifts, the strong Feller property. |
| College: |
Faculty of Science and Engineering |