Strong Uniqueness of Degenerate SDEs with Hölder diffusion coefficients

2018/05/15 by Zhen Wang, Xicheng Zhang, Wang, Zhen +1
Computer Science · Economics, Econometrics and Finance · Engineering · #60H10 #Advanced Mathematical Modeling in Engineering #FOS: Mathematics #Probability (math.PR) #Stability and Controllability of Differential Equations #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1805.05526

openalex publication_date 2018/05/15 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper we prove a new strong uniqueness result and a weak existence result for possibly \it degenerate multidimensional stochastic differential equations with Sobolev diffusion coefficients and rough drifts. In particular, examples with Hölder diffusion coefficients are provided to show our results.

Citations

• Ergodicity of stochastic differential equations with jumps and singular coefficients

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