Existence and uniqueness of degenerate SDEs with Hölder diffusion and measurable drift

Zhen Wang*, Xicheng Zhang

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract

In this paper we prove a new strong uniqueness result and a weak existence result for possibly degenerate multidimensional stochastic differential equations with Sobolev diffusion coefficients and rough drifts. In particular, examples with Hölder diffusion coefficients are provided to show our results.

Original languageEnglish
Article number123679
JournalJournal of Mathematical Analysis and Applications
Volume484
Issue number1
DOIs
Publication statusPublished - 1 Apr 2020
Externally publishedYes

Keywords

  • Krylov's estimate
  • Multidimensional SDE
  • Pathwise uniqueness

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