On the stochastic regularity of distorted Brownian motions

Shin, Jiyong; Trutnau, Gerald

doi:10.1090/tran/6887

On the stochastic regularity of distorted Brownian motions
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by Jiyong Shin and Gerald Trutnau PDF

Trans. Amer. Math. Soc. 369 (2017), 7883-7915 Request permission

Abstract:

We systematically develop general tools to apply Fukushima’s absolute continuity condition. These tools comprise methods to obtain a Hunt process on a locally compact separable metric state space whose transition function has a density w.r.t. the reference measure and methods to estimate drift potentials comfortably. We then apply our results to distorted Brownian motions and construct weak solutions to singular stochastic differential equations, i.e., equations with possibly unbounded and discontinuous drift and reflection terms which may be the sum of countably many local times. The solutions can start from any point of the explicitly specified state space. We consider different kinds of weights, like Muckenhoupt $A_2$ weights and weights with moderate growth at singularities as well as different kinds of (multiple) boundary conditions. Our approach leads in particular to the construction and explicit identification of countably skew reflected and normally reflected Brownian motions with singular drift in bounded and unbounded multi-dimensional domains.

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