On Multidimensional stable-driven Stochastic Differential Equations with Besov drift
Probability
2022-02-17 v3
Abstract
We establish well-posedness results for multidimensional non degenerate -stable driven SDEs with time inhomogeneous singular drifts in with and in , where and stand for Lebesgue and Besov spaces respectively. Precisely, we first prove the well-posedness of the corresponding martingale problem and then give a precise meaning to the dynamics of the SDE. This allows us in turn to define an ad hoc notion of weak solution, for which well-posedness holds as well. Our results rely on the smoothing properties of the underlying PDE, which is investigated by combining a perturbative approach with duality results between Besov spaces.
Keywords
Cite
@article{arxiv.1907.12263,
title = {On Multidimensional stable-driven Stochastic Differential Equations with Besov drift},
author = {Paul-Eric Chaudru de Raynal and Stéphane Menozzi},
journal= {arXiv preprint arXiv:1907.12263},
year = {2022}
}