English

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 Lq([0,T];Lp(Rd))L^q([0,T]; L^{p}(\mathbb{R}^d)) with d/p+2/q=1d/p+2/q=1. The weak uniqueness is obtained by solving corresponding Kolmogorov's backward equations in some second order Sobolev spaces, which is analytically interesting in itself.

Keywords

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

R2 v1 2026-06-23T20:48:10.702Z