Pathwise uniqueness and continuous dependence for SDEs with non-regular drift

被引：62

作者：

Fedrizzi, E. ^{[2
]}

Flandoli, F. ^{[1
]}

机构：

[1] Univ Pisa, Dipartimento Matemat Applicata, Pisa, Italy

[2] Univ Paris 07, Lab Probabilites & Modeles Aleatoires, Paris, France

来源：

STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES | 2011年 / 83卷 / 03期

关键词：

stochastic differential equations; strong solutions; pathwise continuous dependence; singular drift; heat equation; EQUATIONS;

D O I：

10.1080/17442508.2011.553681

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

A new proof of a pathwise uniqueness result of Krylov and Rockner is given. It concerns SDEs with drift having only certain integrability properties. In spite of the poor regularity of the drift, pathwise continuous dependence on initial conditions may be obtained, by means of this new proof. The proof is formulated in such a way to show that the only major tool is a good regularity theory for the heat equation forced by a function with the same regularity of the drift.

引用

页码：241 / 257

页数：17

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