English

On time inhomogeneous stochastic It\^o equations with drift in $L_{d+1}$

Probability 2020-10-13 v4

Abstract

We prove the solvability of It\^o stochastic equations with uniformly nondegenerate, bounded, measurable diffusion and drift in Ld+1(Rd+1)L_{d+1}(\mathbb{R}^{d+1}). Actually, the powers of summability of the drift in xx and tt could be different. Our results seem to be new even if the diffusion is constant. The method of proving the solvability belongs to A.V. Skorokhod. Weak uniqueness of solutions is an open problem even if the diffusion is constant.

Keywords

Cite

@article{arxiv.2005.08831,
  title  = {On time inhomogeneous stochastic It\^o equations with drift in $L_{d+1}$},
  author = {N. V. Krylov},
  journal= {arXiv preprint arXiv:2005.08831},
  year   = {2020}
}

Comments

22 pages, few glitches corrected, one reference added, several errors corrected