Multidimensional stochastic differential equations with distributional drift

Flandoli, Franco; Issoglio, Elena; Russo, Francesco

doi:10.1090/tran/6729

Multidimensional stochastic differential equations with distributional drift
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by Franco Flandoli, Elena Issoglio and Francesco Russo PDF

Trans. Amer. Math. Soc. 369 (2017), 1665-1688 Request permission

Abstract:

This paper investigates a time-dependent multidimensional stochastic differential equation with drift being a distribution in a suitable class of Sobolev spaces with negative derivation order. This is done through a careful analysis of the corresponding Kolmogorov equation whose coefficient is a distribution.

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