Density and gradient estimates for non degenerate Brownian SDEs with unbounded measurable drift

S. Menozzi*, A. Pesce, X. Zhang

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

20 Citations (Scopus)

Abstract

We consider non degenerate Brownian SDEs with Hölder continuous in space diffusion coefficient and unbounded drift with linear growth. We derive two sided bounds for the associated density and pointwise controls of its derivatives up to order two under some additional spatial Hölder continuity assumptions on the drift. Importantly, the estimates reflect the transport of the initial condition by the unbounded drift through an auxiliary, possibly regularized, flow.

Original languageEnglish
Pages (from-to)330-369
Number of pages40
JournalJournal of Differential Equations
Volume272
DOIs
Publication statusPublished - 25 Jan 2021
Externally publishedYes

Keywords

  • Gradient estimates
  • Heat kernel estimates
  • Parametrix method
  • Unbounded drift

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