SDEs with critical time dependent drifts: weak solutions
Probability
2021-06-29 v3 Analysis of PDEs
Abstract
We prove the unique weak solvability of time-inhomogeneous stochastic differential equations with additive noises and drifts in critical Lebsgue space with . The weak uniqueness is obtained by solving corresponding Kolmogorov's backward equations in some second order Sobolev spaces, which is analytically interesting in itself.
Cite
@article{arxiv.2012.04161,
title = {SDEs with critical time dependent drifts: weak solutions},
author = {Michael Röckner and Guohuan Zhao},
journal= {arXiv preprint arXiv:2012.04161},
year = {2021}
}
Comments
29 pages