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Journal articles

Strong solutions to stochastic differential equations with rough coefficients

Nicolas Champagnat 1, 2 Pierre-Emmanuel Jabin 3 
1 TOSCA - TO Simulate and CAlibrate stochastic models
CRISAM - Inria Sophia Antipolis - Méditerranée , IECL - Institut Élie Cartan de Lorraine : UMR7502
Abstract : We study strong existence and pathwise uniqueness for stochastic differential equations in $\RR^d$ with rough coefficients, and without assuming uniform ellipticity for the diffusion matrix. Our approach relies on direct quantitative estimates on solutions to the SDE, assuming Sobolev bounds on the drift and diffusion coefficients, and $L^p$ bounds for the solution of the corresponding Fokker-Planck PDE, which can be proved separately. This allows a great flexibility regarding the method employed to obtain these last bounds. Hence we are able to obtain general criteria in various cases, including the uniformly elliptic case in any dimension, the one-dimensional case and the Langevin (kinetic) case.
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Nicolas Champagnat, Pierre-Emmanuel Jabin. Strong solutions to stochastic differential equations with rough coefficients. Annals of Probability, Institute of Mathematical Statistics, 2018, 46 (3), pp.1498-1541. ⟨10.1214/17-AOP1208⟩. ⟨hal-00799242v2⟩

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