Multidimensional stochastic differential equations with distributional drift
Probability
2015-07-30 v2
Abstract
This paper investigates a time-dependent multidimensional stochastic differential equation with drift being a distribution in a suitable class of Sobolev spaces with negative derivation order. This is done through a careful analysis of the corresponding Kolmogorov equation whose coefficient is a distribution.
Cite
@article{arxiv.1401.6010,
title = {Multidimensional stochastic differential equations with distributional drift},
author = {Franco Flandoli and Elena Issoglio and Francesco Russo},
journal= {arXiv preprint arXiv:1401.6010},
year = {2015}
}