English

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 α\alpha-stable driven SDEs with time inhomogeneous singular drifts in LrBp,q1+γ\mathbb{L}^r-{\mathbb B}_{p,q}^{-1+\gamma} with γ<1\gamma<1 and α\alpha in (1,2](1,2], where Lr\mathbb{L}^r and Bp,q1+γ{\mathbb B}_{p,q}^{-1+\gamma} 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}
}
R2 v1 2026-06-23T10:33:28.665Z