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Strong solutions of SDES with singular drift and Sobolev diffusion coefficients

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  • Zhang, Xicheng

Abstract

In this paper we prove the existence of a unique strong solution up to the explosion time for an SDE with a uniformly non-degenerate Sobolev diffusion coefficient (non-Lipschtiz) and locally integrable drift coefficient. Moreover, two non-explosion conditions are given.

Suggested Citation

  • Zhang, Xicheng, 2005. "Strong solutions of SDES with singular drift and Sobolev diffusion coefficients," Stochastic Processes and their Applications, Elsevier, vol. 115(11), pages 1805-1818, November.
    • Handle: RePEc:eee:spapps:v:115:y:2005:i:11:p:1805-1818
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    Citations

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    Cited by:

    1. Jinxia Wang, 2015. "Nonexplosion and Pathwise Uniqueness of Stochastic Differential Equation Driven by Continuous Semimartingale with Non-Lipschitz Coefficients," Journal of Mathematics, Hindawi, vol. 2015, pages 1-5, May.
    2. G. Prato & F. Flandoli & E. Priola & M. Röckner, 2015. "Strong Uniqueness for Stochastic Evolution Equations with Unbounded Measurable Drift Term," Journal of Theoretical Probability, Springer, vol. 28(4), pages 1571-1600, December.
    3. Holden, Helge & Karlsen, Kenneth H. & Pang, Peter H.C., 2022. "Strong solutions of a stochastic differential equation with irregular random drift," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 655-677.
    4. Luo, Dejun, 2011. "Absolute continuity under flows generated by SDE with measurable drift coefficients," Stochastic Processes and their Applications, Elsevier, vol. 121(10), pages 2393-2415, October.
    5. Wujun Lv & Xing Huang, 2021. "Harnack and Shift Harnack Inequalities for Degenerate (Functional) Stochastic Partial Differential Equations with Singular Drifts," Journal of Theoretical Probability, Springer, vol. 34(2), pages 827-851, June.
    6. Yang, Saisai & Zhang, Tusheng, 2023. "Strong solutions to reflecting stochastic differential equations with singular drift," Stochastic Processes and their Applications, Elsevier, vol. 156(C), pages 126-155.
    7. Dejun Luo, 2015. "Quasi-invariance of the Stochastic Flow Associated to Itô’s SDE with Singular Time-Dependent Drift," Journal of Theoretical Probability, Springer, vol. 28(4), pages 1743-1762, December.
    8. Xia, Pengcheng & Xie, Longjie & Zhang, Xicheng & Zhao, Guohuan, 2020. "Lq(Lp)-theory of stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 130(8), pages 5188-5211.
    9. Xie, Longjie, 2017. "Singular SDEs with critical non-local and non-symmetric Lévy type generator," Stochastic Processes and their Applications, Elsevier, vol. 127(11), pages 3792-3824.
    10. Krylov, N.V., 2021. "On stochastic Itô processes with drift in Ld," Stochastic Processes and their Applications, Elsevier, vol. 138(C), pages 1-25.

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