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On multidimensional stable-driven stochastic differential equations with Besov drift

  • Laboratoire de Mathématiques Jean Leray
  • Université d'Evry Val d'Essonne
  • National Research University

Research output: Contribution to journalArticlepeer-review

14 Citations (Scopus)

Abstract

We establish well-posedness results for multidimensional non degenerate α-stable driven SDEs with time inhomogeneous singular drifts in Lr − B−1+γ p,q with γ < 1 and α in (1, 2], where Lr and B−1+γ p,q stand for Lebesgue and Besov spaces respectively. Precisely, we first prove the well-posedness of the corresponding martingale problem and then give a precise meaning to the dynamics of the SDE. This allows us in turn to define an ad hoc notion of weak solution, for which well-posedness holds as well. Our results rely on the smoothing properties of the underlying PDE, which is investigated by combining a perturbative approach with duality results between Besov spaces.

Original languageEnglish
JournalElectronic Journal of Probability
Volume27
DOIs
Publication statusPublished - 1 Jan 2022
Externally publishedYes

Keywords

  • Besov spaces
  • SDEs with singular drifts
  • dynamics
  • stable processes

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