On the zero-noise limit for SDE's singular at the initial time
Probability
2025-12-01 v2 Analysis of PDEs
Classical Analysis and ODEs
Abstract
We investigate the zero-noise limit for SDE's driven by Brownian motion with a divergence-free drift singular at the initial time and prove that a unique probability measure concentrated on the integral curves of the drift is selected. More precisely, we prove uniqueness of the zero-noise limit for divergence-free drifts in where and satisfy a Prodi-Serrin condition. The vector field constructed by Depauw [C. R. Acad. Sci. Paris, 2003] lies in this class and we show that for almost every intial datum, the zero-noise limit selects a probability measure concentrated on several distinct integral curves of this vector field.
Cite
@article{arxiv.2503.22905,
title = {On the zero-noise limit for SDE's singular at the initial time},
author = {Jules Pitcho},
journal= {arXiv preprint arXiv:2503.22905},
year = {2025}
}