Sharp solvability for singular SDEs
Probability
2021-10-22 v1 Analysis of PDEs
Abstract
The attracting inverse-square drift provides a prototypical counterexample to solvability of singular SDEs: if the coefficient of the drift is larger than a certain critical value, then no weak solution exists. We prove a positive result on solvability of singular SDEs where this critical value is attained from below (up to strict inequality) for the entire class of form-bounded drifts. This class contains e.g. the inverse-square drift, the critical Ladyzhenskaya-Prodi-Serrin class. The proof is based on a variant of De Giorgi's method.
Cite
@article{arxiv.2110.11232,
title = {Sharp solvability for singular SDEs},
author = {Damir Kinzebulatov and Yuliy A. Semenov},
journal= {arXiv preprint arXiv:2110.11232},
year = {2021}
}