English

On strong solutions of It\^o's equations with a$\,\in W^{1}_{d}$ and b$\,\in L_{d}$

Probability 2020-07-14 v1

Abstract

We consider It\^o uniformly nondegenerate equations with time independent coefficients, the diffusion coefficient in Wd,loc1W^{1}_{d,loc}, and the drift in LdL_{d}. We prove the unique strong solvability for any starting point and prove that as a function of the starting point the solutions are H\"older continuous with any exponent <1<1. We also prove that if we are given a sequence of coefficients converging in an appropriate sense to the original ones, then the solutions of approximating equations converge to the solution of the original one.

Keywords

Cite

@article{arxiv.2007.06040,
  title  = {On strong solutions of It\^o's equations with a$\,\in W^{1}_{d}$ and b$\,\in L_{d}$},
  author = {N. V. Krylov},
  journal= {arXiv preprint arXiv:2007.06040},
  year   = {2020}
}

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29 pages