首页 | 本学科首页   官方微博 | 高级检索  
     


Strong solutions of stochastic equations with singular time dependent drift
Authors:N.V.?Krylov  author-information"  >  author-information__contact u-icon-before"  >  mailto:krylov@math.umn.edu"   title="  krylov@math.umn.edu"   itemprop="  email"   data-track="  click"   data-track-action="  Email author"   data-track-label="  "  >Email author,M.?R?ckner
Affiliation:(1) University of Minnesota, 127 Vincent Hall, Minneapolis, MN 55455, USA;(2) Fakultät für Mathematik, Universität Bielefeld, Bielefeld, D-33501, Germany
Abstract:We prove existence and uniqueness of strong solutions to stochastic equations in domains MediaObjects/s00440-004-0361-zflb1.gif with unit diffusion and singular time dependent drift b up to an explosion time. We only assume local Lq_Lp-integrability of b in Ropf×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 psgr blowing up as GnixrarrpartG, we prove that the conditions 2DtpsgrleKpsgr,2Dtpsgr+DeltapsgrleKeepsivpsgr,epsiv isin [0,2), imply that the explosion time is infinite and the distributions of the solution have sub Gaussian tails.The work of the first author was partially supported by NSF Grant DMS-0140405Mathematics Subject Classification (2000): 60J60, 31C25Acknowledgement Financial support by the Humboldt Foundation, the BiBoS-Research Centre and the DFG-Forschergruppe ldquoSpectral Analysis, Asymptotic Distributions and Stochastic Dynamicsrdquo is gratefully acknowledged. The authors are also sincerely grateful to the referees for their helpful suggestions.
Keywords:Singular drift  Distorted Brownian motion  Strong solutions of stochastic equations
本文献已被 SpringerLink 等数据库收录!
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号