Strong solutions of stochastic equations with singular time dependent drift

被引:288
作者
Krylov, NV
Röckner, M
机构
[1] Univ Minnesota, Minneapolis, MN 55455 USA
[2] Univ Bielefeld, Fak Math, D-33501 Bielefeld, Germany
基金
美国国家科学基金会;
关键词
singular drift; distorted Brownian motion; strong solutions of stochastic equations;
D O I
10.1007/s00440-004-0361-z
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
We prove existence and uniqueness of strong solutions to stochastic equations in domains G subset of R-d with unit diffusion and singular time dependent drift b up to an explosion time. We only assume local L-q-L-p-integrability of b in R x G with d/ p+ 2/ q < 1. We also prove strong Feller properties in this case. If b is the gradient in x of a nonnegative function psi blowing up as G there exists x --> partial derivativeG, we prove that the conditions 2D(t) psi less than or equal to Kpsi, 2D(t)psi + Deltapsi less than or equal to Ke(epsilonpsi), epsilon is an element of [0, 2), imply that the explosion time is infinite and the distributions of the solution have sub Gaussian tails.
引用
收藏
页码:154 / 196
页数:43
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