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The Itô SDEs and Fokker-Planck equations with Osgood and Sobolev coefficients.

Authors :
Luo, Dejun
Source :
Stochastics: An International Journal of Probability & Stochastic Processes. May2018, Vol. 90 Issue 3, p379-410. 32p.
Publication Year :
2018

Abstract

We study the degenerate Itô SDE on <inline-graphic></inline-graphic> whose drift coefficient only fulfills a mixed Osgood and Sobolev regularity. Under suitable assumptions on the gradient of the diffusion coefficient and on the divergence of the drift coefficient, we prove the existence and uniqueness of generalized stochastic flows associated to such equations. We also prove the uniqueness of solutions to the corresponding Fokker-Planck equation by using the probabilistic method. [ABSTRACT FROM AUTHOR]

Details

Language :
English
ISSN :
17442508
Volume :
90
Issue :
3
Database :
Academic Search Index
Journal :
Stochastics: An International Journal of Probability & Stochastic Processes
Publication Type :
Academic Journal
Accession number :
128460659
Full Text :
https://doi.org/10.1080/17442508.2017.1357723