Pathwise uniqueness and continuous dependence for SDEs with nonregular drift

Abstract : A new proof of a pathwise uniqueness result of Krylov and R\"{o}ckner is given. It concerns SDEs with drift having only certain integrability properties. In spite of the poor regularity of the drift, pathwise continuous dependence on initial conditions may be obtained, by means of this new proof. The proof is formulated in such a way to show that the only major tool is a good regularity theory for the heat equation forced by a function with the same regularity of the drift.
Type de document :
Pré-publication, Document de travail
2010
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https://hal.archives-ouvertes.fr/hal-01017947
Contributeur : Ennio Fedrizzi <>
Soumis le : jeudi 3 juillet 2014 - 14:21:51
Dernière modification le : jeudi 27 avril 2017 - 09:46:19

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  • HAL Id : hal-01017947, version 1
  • ARXIV : 1004.3485

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UPMC | INSMI | USPC | PMA

Citation

E. Fedrizzi, F. Flandoli. Pathwise uniqueness and continuous dependence for SDEs with nonregular drift. 2010. <hal-01017947>

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