Energy solutions to SDEs with supercritical distributional drift: An extension and weak convergence rates
Abstract
In this work we consider the SDE \begin{equation} \text{d} X_t = b (t, X_t) \text{d} t + \sqrt{2} \text{d} B_t, \label{mainSDE} \end{equation} in dimension , where is a Brownian motion and is distributional, scaling super-critical and satisfies . We partially extend the super-critical weak well-posedness result for energy solutions from [GP24] by allowing a mixture of the regularity regimes treated therein: Outside of neighbourhoods of a small (and compared to [GP24] ''time-dependent'') local singularity set , is assumed to be in a certain supercritical -type class that allows a direct link between the PDE and the energy solution from a-priori estimates up to the stopping time of visiting . To establish this correspondence, and thus uniqueness, globally in time we then show that is actually never visited which requires us to impose a relation between the dimension of and the H\"older regularity of . In the second part of this work we derive weak convergence rates for approximations of the above equation in the case of time-independent drift, in particular with local singularities as above.
Cite
@article{arxiv.2407.09222,
title = {Energy solutions to SDEs with supercritical distributional drift: An extension and weak convergence rates},
author = {Lukas Gräfner},
journal= {arXiv preprint arXiv:2407.09222},
year = {2025}
}
Comments
20 pages