Strong solutions of SDES with singular drift and Sobolev diffusion coefficients

Xicheng Zhang

doi:10.1016/j.spa.2005.06.003

Strong solutions of SDES with singular drift and Sobolev diffusion coefficients

Xicheng Zhang^*

^*此作品的通讯作者

Huazhong University of Science and Technology

科研成果: 期刊稿件 › 文章 › 同行评审

78 引用（Scopus）

摘要

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.

源语言	英语
页（从-至）	1805-1818
页数	14
期刊	Stochastic Processes and their Applications
卷	115
期	11
DOI	https://doi.org/10.1016/j.spa.2005.06.003
出版状态	已出版 - 11月 2005
已对外发布	是

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title = "Strong solutions of SDES with singular drift and Sobolev diffusion coefficients",

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.",

keywords = "Krylov's estimate, Sobolev space, Strong solution, Zvonkin's transformation",

author = "Xicheng Zhang",

year = "2005",

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doi = "10.1016/j.spa.2005.06.003",

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AU - Zhang, Xicheng

PY - 2005/11

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AB - 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.

KW - Krylov's estimate

KW - Sobolev space

KW - Strong solution

KW - Zvonkin's transformation

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U2 - 10.1016/j.spa.2005.06.003

DO - 10.1016/j.spa.2005.06.003

M3 - Article

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JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

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ER -

Strong solutions of SDES with singular drift and Sobolev diffusion coefficients

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