Stochastic differential equations with singular (form-bounded) drift

2019/04/02 by Kinzebulatov, D., Semenov, Yu. A.
#35J75 (secondary) #47D07 (primary) #60H10 #Analysis of PDEs (math.AP) #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1904.01268

Abstract

We consider the problem of constructing weak solutions to the Itô and to the Stratonovich stochastic differential equations having critical-order singularities in the drift and critical-order discontinuities in the dispersion matrix.

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