Weak and strong well-posedness of critical and supercritical SDEs with singular coefficients

Renming Song, Longjie Xie

Research output: Contribution to journalArticlepeer-review

Abstract

Consider the following time-dependent stable-like operator with drift: Ltφ(x)=∫Rd[φ(x+z)−φ(x)−z(α)⋅∇φ(x)]σ(t,x,z)να(dz)+b(t,x)⋅∇φ(x), where d⩾1, να is an α-stable type Lévy measure with α∈(0,1] and z(α)=1α=11|z|⩽1z, σ is a real-valued Borel function on R+×Rd×Rd and b is an Rd-valued Borel function on R+×Rd. By using the Littlewood-Paley theory, we establish the well-posedness for the martingale problem associated with Lt under the sharp balance condition α+β⩾1, where β is the Hölder index of b with respect to x. Moreover, we also study a class of stochastic differential equations driven by Markov processes with generators of the form Lt. We prove the pathwise uniqueness of strong solutions for such equations when the coefficients are in certain Besov spaces.

Original languageEnglish (US)
Pages (from-to)266-313
Number of pages48
JournalJournal of Differential Equations
Volume362
DOIs
StatePublished - Jul 25 2023

Keywords

  • Krylov's estimate
  • Martingale problem
  • Pathwise uniqueness
  • Stable-like processes
  • Supercritical
  • Zvonkin's transform

ASJC Scopus subject areas

  • Analysis
  • Applied Mathematics

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