English

On Davie's uniqueness for some degenerate SDEs

Probability 2019-12-06 v1 Dynamical Systems

Abstract

We consider singular SDEs like \begin{equation} \label{ss} dX_t = b(t, X_t) dt + A X_t dt + \sigma(t) d{L}_t , \;\; t \in [0,T], \;\; X_0 =x \in {\mathbb R}^n, \end{equation} where AA is a real n×nn \times n matrix, i.e., ARnRnA \in {{\mathbb R}}^n \otimes {{\mathbb R}}^n, bb is bounded and H\"older continuous, σ:[0,)RnRd\sigma : [0,\infty) \to {{\mathbb R}}^n \otimes {{\mathbb R}}^d is a locally bounded function and L=(Lt)L= ({L}_t) is an Rd{\mathbb R}^d-valued L\'evy process, 1dn1 \le d \le n. We show that strong existence and uniqueness together with LpL^p-Lipschitz dependence on the initial condition xx imply Davie's uniqueness or path by path uniqueness. This extends a result of [E. Priola, AIHP, 2018] proved when n=dn=d, A=0A=0 and σ(t)I\sigma(t) \equiv I . We apply the result to some singular degenerate SDEs associated to the kinetic transport operator 12vf+ \frac{1}{2} \triangle_v f + vxf{v \cdot \partial_{x}f} +F(x,v)vf+F(x,v)\cdot \partial_{v}f when n=2dn =2d and LL is an Rd{{\mathbb R}}^d-valued Wiener process. For such equations strong existence and uniqueness are known under H\"older type conditions on bb. We show that in addition also Davie's uniqueness holds.

Keywords

Cite

@article{arxiv.1912.02776,
  title  = {On Davie's uniqueness for some degenerate SDEs},
  author = {Enrico Priola},
  journal= {arXiv preprint arXiv:1912.02776},
  year   = {2019}
}