Strong solutions of SDES with singular drift and Sobolev diffusion coefficients

Xicheng Zhang

Stochastic Processes and their Applications, 2005, vol. 115, issue 11, 1805-1818

Abstract: In this paper we prove the existence of a unique strong solution up to the explosion time for an SDE with a uniformly non-degenerate Sobolev diffusion coefficient (non-Lipschtiz) and locally integrable drift coefficient. Moreover, two non-explosion conditions are given.

Keywords: Strong; solution; Krylov's; estimate; Zvonkin's; transformation; Sobolev; space (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (12)

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