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arxiv: 1206.1117 · v1 · pith:ZCLE6QW7new · submitted 2012-06-06 · 🧮 math.PR

Local H\"{o}lder continuity property of the Densities of Solutions of SDEs with Singular Coefficients

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keywords ldercontinuousdensitycoefficientcoefficientsdiffusiondriftcite
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We prove that the weak solution of a uniformly elliptic stochastic differential equation with locally smooth diffusion coefficient and H\"{o}lder continuous drift has a H\"{o}lder continuous density function. This result complements recent results of Fournier-Printems \cite{F1}, where the density is shown to exist if both coefficients are H\"{o}lder continuous and exemplifies the role of the drift coefficient in the regularity of the density of a diffusion.

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