A new proof of a pathwise uniqueness result of Krylov and Röckner 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.

Pathwise uniqueness and continuous dependence of SDEs with non-regular drift

FEDRIZZI, ENNIO;Flandoli, F.
2011

Abstract

A new proof of a pathwise uniqueness result of Krylov and Röckner 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.
2011
SDEs with non-regular drift; Pathwise uniqueness
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11384/69121
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