Abstract
In this article we prove existence and uniqueness for degenerate stochastic differential equations with Sobolev (possibly singular) drift and diffusion coefficients in a generalized sense. In particular, our result covers the classical DiPerna-Lions flows and we also obtain well-posedness for degenerate Fokker-Planck equations with irregular coefficients. Moreover, a large deviation principle of Freidlin-Wenzell type for this type of SDEs is established.
Original language | English |
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Pages (from-to) | 25-52 |
Number of pages | 28 |
Journal | Revista Matematica Iberoamericana |
Volume | 29 |
Issue number | 1 |
DOIs | |
Publication status | Published - 2013 |
Externally published | Yes |
Keywords
- DiPerna-Lions theory
- Generalized stochastic flow
- Hardy-Littlewood maximal function
- Large deviation