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Article Dans Une Revue Journal of Differential Equations Année : 2021

Density and gradient estimates for non degenerate Brownian SDEs with unbounded measurable drift

Résumé

We consider non degenerate Brownian SDEs with Hölder continuous in space diffusion coefficient and unbounded drift with linear growth. We derive two sided bounds for the associated density and pointwise controls of its derivatives up to order two under some additional spatial Hölder continuity assumptions on the drift. Importantly, the estimates reflect the transport of the initial condition by the unbounded drift through an auxiliary, possibly regularized, flow.
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Dates et versions

hal-02864994 , version 1 (12-06-2020)

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S. Menozzi, A. Pesce, X. Zhang. Density and gradient estimates for non degenerate Brownian SDEs with unbounded measurable drift. Journal of Differential Equations, 2021, 272, pp.330-369. ⟨10.1016/j.jde.2020.09.004⟩. ⟨hal-02864994⟩
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