Related papers: Uniqueness of strong solutions for SDEs with H\"ol…
We present a well-posedness result for strong solutions of one-dimensional stochastic differential equations (SDEs) of the form $$\mathrm{d} X= u(\omega,t,X)\, \mathrm{d} t + \frac12 \sigma(\omega,t,X)\sigma'(\omega,t,X)\,\mathrm{d} t +…
We study a one-dimensional stochastic differential equation driven by a stable L\'evy process of order $\alpha$ with drift and diffusion coefficients $b,\sigma$. When $\alpha\in (1,2)$, we investigate pathwise uniqueness for this equation.…
We use the approach of Roeckner-Zhao to prove strong well-posedness for SDEs with singular drift satisfying some minimal assumptions.
For given strongly local Dirichlet forms with possibly degenerate symmetric (sub)-elliptic matrix, we show the existence of weak solutions to the stochastic differential equations (associated with the Dirichlet forms) starting from all…
We survey and refine recent results on weak and strong well-posedness of stochastic differential equations with singular drift satisfying some minimal assumptions.
We investigate the diffusion-aggregation equations with degenerate diffusion $\Delta u^m$ and singular interaction kernel $\mathcal{K}_s = (-\Delta)^{-s}$ with $s\in(0,\frac{d}{2})$. We analyze the regime %($m>2-2s/d$, $d$ is the dimension)…
In this paper we prove strong well-posedness for a system of stochastic differential equations driven by a degenerate diffusion satisfying a weak-type H\"ormander condition, assuming H\"older regularity assumptions on the drift coefficient.…
We study a large class of McKean-Vlasov SDEs with drift and diffusion coefficient depending on the density of the solution's time marginal laws in a Nemytskii-type of way. A McKean-Vlasov SDE of this kind arises from the study of the…
A new class of explicit Milstein schemes, which approximate stochastic differential equations (SDEs) with superlinearly growing drift and diffusion coefficients, is proposed in this article. It is shown, under very mild conditions, that…
We consider multidimensional SDEs with singular drift $b$ and Sobolev diffusion coefficients $\sigma$, satisfying Krylov--R\"ockner type assumptions. We prove several stability estimates, comparing solutions driven by different…
Motivated by the probabilistic representation for solutions of the Navier-Stokes equations, we introduce a novel class of stochastic differential equations that depend on the entire flow of its time marginals. We establish the existence and…
We study the forward self-similar solutions to the $2$D hypodissipative Navier-Stokes equation with fractional diffusion $(-\Delta)^\alpha$ for $\frac{1}{2}<\alpha<1$. We first show that for arbitrarily large $(1-2\alpha)$-homogeneous…
We consider the Euler-Maruyama approximation for multi-dimensional stochastic differential equations with irregular coefficients. We provide the rate of strong convergence where the possibly discontinuous drift coefficient satisfies a…
This paper is a natural continuation of [8], where strong Markov processes are constructed in time inhomogeneous setting with Borel measurable uniformly bounded and uniformly nondegenerate diffusion and drift in $L_{d+1}(\mathbb{R}^{d+1})$.…
In this paper we establish the strong existence, pathwise uniqueness and a comparison theorem to a stochastic partial differential equation driven by Gaussian colored noise with non-Lipschitz drift, H\"older continuous diffusion…
In this article, we address the absorption properties of a class of stochastic differ- ential equations around singular points where both the drift and diffusion functions vanish. According to the H\"older coefficient alpha of the diffusion…
We prove that the solution of certain linear stochastic differential equations in Hilbert spaces, namely those with bounded operators as well as the conservative stochastic Schr\"odinger equations, can be obtained - along the lines of the…
Unique existence of analytically strong solutions to stochastic partial differential equations (SPDE) with drift given by the subdifferential of a quasi-convex function and with general multiplicative noise is proven. The proof applies a…
The object of the present paper is to find new sufficient conditions for the existence of unique strong solutions to a class of (time-inhomogeneous) stochastic differential equations with random, non-Lipschitzian coefficients. We give an…
The (strong and weak) well-posedness is proved for singular SDEs depending on the distribution density point-wisely and globally, where the drift satisfies a local integrability condition in time-spatial variables, and is Lipschitz…