Hypoelliptic diffusions with singular drifts

2018/06/26 by Nam, Kyeongsik
#35H10 #35H20 #35R03 #60H05 #60H10 #Analysis of PDEs (math.AP) #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1806.10172

Abstract

We establish the well-posedness of stochastic differential equations possessing degenerate diffusions and singular drifts. We prove that SDEs defined on the homogeneous Carnot group, whose hypoelliptic diffusion part is given by the horizontal Brownian motion, admit a unique strong solution for a large class of singular drifts. It considerably generalizes the classical well-posedness results of singular SDEs with non-degenerate diffusions. It also provides an intermediate result between the Cauchy-Lipschitz theorem in ordinary differential equations and the result proved by Krylov and Röckner [38], which states the well-posedness of SDEs with the additive noise and singular drifts.

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