Analytic Theory of Itô-Stochastic Differential Equations with Non-smooth Coefficients

von Haesung Lee, Wilhelm Stannat, Gerald Trutnau

126 Seiten, Taschenbuch

Kurzbeschreibung des Verlags

This book provides analytic tools to describe local and global behavior of solutions to Itô-stochastic differential equations with non-degenerate Sobolev diffusion coefficients and locally integrable drift. Regularity theory of partial differential equations is applied to construct such solutions and to obtain strong Feller properties, irreducibility, Krylov-type estimates, moment inequalities, various types of non-explosion criteria, and long time behavior, e.g., transience, recurrence, and convergence to stationarity. The approach is based on the realization of the transition semigroup associated with the solution of a stochastic differential equation as a strongly continuous semigroup in the Lp -space with respect to a weight that plays the role of a sub-stationary or stationary density. This way we obtain in particular a rigorous functional analytic description of the generator of the solution of a stochastic differential equation and its full domain. The existence of such a weight is shown under broad assumptions on the coefficients. A remarkable fact is that although the weight may not be unique, many important results are independent of it. Given such a weight and semigroup, one can construct and further analyze in detail a weak solution to the stochastic differential equation combining variational techniques, regularity theory for partial differential equations, potential, and generalized Dirichlet form theory. Under classical-like or various other criteria for non-explosion we obtain as one of our main applications the existence of a pathwise unique and strong solution with an infinite lifetime. These results substantially supplement the classical case of locally Lipschitz or monotone coefficients.We further treat other types of uniqueness and non-uniqueness questions, such as uniqueness and non-uniqueness of the mentioned weights and uniqueness in law, in a certain sense, of the solution.

• Reihe: SpringerBriefs in Probability and Mathematical Statistics
• Themen: Mathematik und Naturwissenschaften Mathematik Wahrscheinlichkeitsrechnung und Statistik
• ISBN: 9789811938306
• Sprache: Englisch
• Erscheinungsdatum: 28.08.2022
• Größe: 23.5 x 15.5 cm
• Verlag: Springer Singapore