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On Time Inhomogeneous Stochastic Itô Equations with Drift in LD+1

Name: On Time Inhomogeneous Stochastic Itô Equations with Drift in LD+1
Creator: N. V. Krylov
Keywords: 60H10, 60J60, Probability (math.PR), 0103 physical sciences, FOS: Mathematics, 0101 mathematics, 01 natural sciences, Mathematics - Probability

descriptionPublicationkeyboard_double_arrow_right Article , Preprint , Other literature type 22 Sep 2020Embargo end date: 01 Jan 2020Publisher:Springer Science and Business Media LLCJournal:Ukrainian Mathematical Journal, volume 72, pages 1,420-1,444 (issn: 0041-5995, eissn: 1573-9376,

Authors: N. V. Krylov;

doi: 10.1007/s11253-021-01864-8 , 10.37863/umzh.v72i9.6280 , 10.48550/arxiv.2005.08831

arXiv: http://arxiv.org/abs/2005.08831

On Time Inhomogeneous Stochastic Itô Equations with Drift in LD+1

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Abstract

UDC 519.21 We prove the solvability of Itô stochastic equations with uniformly nondegenerate bounded measurable diffusion and drift in Actually, the powers of summability of the drift in and could be different. Our results seem to be new even if the diffusion is constant. The method of proving the solvability belongs to A. V. Skorokhod.Weak uniqueness of solutions is an open problem even if the diffusion is constant.

Related Organizations

University of Minnesota Morris
United States

Keywords

60H10, 60J60, Probability (math.PR), FOS: Mathematics, Mathematics - Probability

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