SDEs WITH SINGULAR COEFFICIENTS: THE MARTINGALE PROBLEM VIEW AND THE STOCHASTIC DYNAMICS VIEW

Elena Issoglio and Francesco Russo
april, 2024
Publication type:
Paper in peer-reviewed journals
Journal:
Journal of Theoretical Probability
arXiv:
assets/images/icons/icon_arxiv.png 2208.10799
Keywords :
Stochastic differential equations; Distributional drift; Besov spaces; Martingale problem; Weak Dirichlet processes.
Abstract:
We consider SDEs with (distributional) drift in negative Besov spaces and random initial condition and investigate them from two different viewpoints. In the first part we set up a martingale problem and show its well-posedness. We then prove further properties of the martingale problem, like continuity with respect to the drift and the link with the Fokker-Planck equation. We also show that the solutions are weak Dirichlet processes for which we evaluate the quadratic variation of the martingale component. In the second part we identify the dynamics of the solution of the martingale problemby describing the proper associated SDE. Under suitable assumptions we show equivalence with the solution to the martingale problem.
BibTeX:
@article{Iss-Rus-2024-1,
    author={Elena Issoglio and Francesco Russo },
    title={SDEs WITH SINGULAR COEFFICIENTS: THE MARTINGALE PROBLEM VIEW 
           AND THE STOCHASTIC DYNAMICS VIEW },
    doi={10.1007/s10959-024-01325-5 },
    journal={Journal of Theoretical Probability },
    year={2024 },
    month={4},
}