Related papers: A note on weak existence for singular SDEs
We prove the existence and conditional uniqueness in the Krylov class for SDEs with singular divergence-free drifts in the endpoint critical Lorentz space $L^{\infty}(0,T; L^{d,\infty}(\mathbb{R}^d))$, $d \geqslant 2$, which particularly…
In this paper, we prove that there exists a unique strong solution to reflecting stochastic differential equations with merely measurable drift giving an affirmative answer to the longstanding problem. This is done through Zvonkin…
In this work we prove Malliavin differentiability for the solution to an SDE with locally Lipschitz and semi-monotone drift. To this end we construct a sequence of SDEs with globally Lipschitz drifts. We show that the solutions of these…
In this paper we aim at generalizing the results of A. K. Zvonkin and A. Y. Veretennikov on the construction of unique strong solutions of stochastic differential equations with singular drift vector field and additive noise in the…
We prove the existence and uniqueness of solutions to a Dirichlet problem \[ \begin{cases} Lu = f + v^{-1}\text{Div}(v{\bf e} h), & x \in \Omega; u = 0, & x \in \partial \Omega, \end{cases}\] where $L$ is a degenerate, linear, second order…
We show weak existence and uniqueness in law for a general class of stochastic differential equations in $\mathbb{R}^d$, $d\ge 1$, with prescribed sub-invariant measure $\widehat{\mu}$. The dispersion and drift coefficients of the…
We use the approach of Roeckner-Zhao to prove strong well-posedness for SDEs with singular drift satisfying some minimal assumptions.
We consider degenerate porous medium equations with a divergence type of drift terms. We establish the existence of $L^{q}$-weak solutions (satisfying energy estimates or even further with moment and speed estimates in Wasserstein spaces),…
We show pathwise uniqueness for a class of degenerate It\^{o}-SDE among all of its weak solutions that spend zero time at the points of degeneracy of the dispersion matrix. Consequently, by the Yamada-Watanabe Theorem and a weak existence…
Consider the stochastic evolution equation in a separable Hilbert space with a nice multiplicative noise and a locally Dini continuous drift. We prove that for any initial data the equation has a unique (possibly explosive) mild solution.…
Motivated by applications to congested traffic problems, we establish higher integrability results for the gradient of local weak solutions to the strongly degenerate or singular elliptic PDE $-\mathrm{div}\left((\vert\nabla…
In terms of a nice reference probability measure, integrability conditions on the path-dependent drift are presented for (infinite-dimensional) degenerate PDEs to have regular positive solutions. To this end, the corresponding stochastic…
We consider a perturbed Stokes system with critical divergence-free drift in a bounded Lipschitz domain in $R^2$, with sufficiently small Lipschitz constant L. It extends our previous work in $\Bbb R^n, n\ge 3$, to two-dimensional case. For…
We prove the existence of a weak solution to a backward stochastic differential equation (BSDE) $$ Y_t=\xi+\int_t^T f(s,X_s,Y_s,Z_s)\,ds-\int_t^T Z_s\,d\wien_s$$ in a finite-dimensional space, where $f(t,x,y,z)$ is affine with respect to…
In this paper, concerning SDEs with H\"older continuous drifts, which are merely dissipative at infinity, and SDEs with piecewise continuous drifts, we investigate the strong law of large numbers and the central limit theorem for underlying…
We emphasize that for a stochastic differential equation with isotropic stable additive noise and non Lipschitz drift, when considering an appropriate discretization scheme and the associated weak error, it is somehow natural to consider a…
A new proof of a pathwise uniqueness result of Krylov and R\"{o}ckner is given. It concerns SDEs with drift having only certain integrability properties. In spite of the poor regularity of the drift, pathwise continuous dependence on…
In this paper, we study (strong and weak) existence and uniqueness of a class of non-Markovian SDEs whose drift contains the derivative in the sense of distributionsof a continuous function.
A class of energy-transport equations without electric field under mixed Dirichlet-Neumann boundary conditions is analyzed. The system of degenerate and strongly coupled parabolic equations for the particle density and temperature arises in…
The theory of one-dimensional stochastic differential equations driven by Brownian motion is classical and has been largely understood for several decades. For stochastic differential equations with jumps the picture is still incomplete,…