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Stochastic Differential Equations with Critical Drifts

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arxiv 1802.00074 v2 pith:X4G7HJUG submitted 2018-01-31 math.PR math.AP

classification math.PRmath.AP
keywords belongscriticaldriftfracorlicz-criticalsolutionadditiveadmits
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abstract

We establish the well-posedness of SDE with the additive noise when a singular drift belongs to the critical spaces. We prove that if the drift belongs to the Orlicz-critical space $L^{q,1}([0,T],L^p_x)$ for $p,q\in (1,\infty)$ satisfying $\frac{2}{q}+\frac{d}{p} =1$, then the corresponding SDE admits a unique strong solution. We also derive the Sobolev regularity of a solution under the Orlicz-critical condition.

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  1. $L^q(L^p)$-theory of stochastic differential equations

    math.PR 2019-08 accept novelty 7.0 of 10

    A unified L^q(L^p) theory establishes weak differentiability of SDE flows, a Bismut-Elworthy-Li derivative formula, and endpoint weak well-posedness for singular locally integrable coefficients.

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