TY - JOUR
T1 - Strong solutions of stochastic equations with singular time dependent drift
AU - Krylov, N. V.
AU - Röckner, M.
PY - 2005/2
Y1 - 2005/2
N2 - We prove existence and uniqueness of strong solutions to stochastic equations in domains G ⊂ ℝd with unit diffusion and singular time dependent drift b up to an explosion time. We only assume local L q_Lp-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 ψ blowing up as G ∋ x → ∂G, we prove that the conditions 2Dtψ ≤ Kψ, 2Dtψ + Δψ ≤ Keεψ, ε ∈ [0, 2), imply that the explosion time is infinite and the distributions of the solution have sub Gaussian tails.
AB - We prove existence and uniqueness of strong solutions to stochastic equations in domains G ⊂ ℝd with unit diffusion and singular time dependent drift b up to an explosion time. We only assume local L q_Lp-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 ψ blowing up as G ∋ x → ∂G, we prove that the conditions 2Dtψ ≤ Kψ, 2Dtψ + Δψ ≤ Keεψ, ε ∈ [0, 2), imply that the explosion time is infinite and the distributions of the solution have sub Gaussian tails.
KW - Distorted Brownian motion
KW - Singular drift
KW - Strong solutions of stochastic equations
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U2 - 10.1007/s00440-004-0361-z
DO - 10.1007/s00440-004-0361-z
M3 - Article
AN - SCOPUS:12944260508
VL - 131
SP - 154
EP - 196
JO - Probability Theory and Related Fields
JF - Probability Theory and Related Fields
SN - 0178-8051
IS - 2
ER -