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arXiv · 1205.6688

Strong existence and uniqueness for stochastic differential equation with H{ö}lder drift and degenerate noise

Paul-Eric Chaudru de Raynal
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Abstract

In this paper, we prove pathwise uniqueness for stochastic degenerate systems with a H{ö}lder drift, for a H{ö}lder exponent larger than the critical value 2/3. This work extends to the degenerate setting the earlier results obtained by Zvonkin, Veretennikov, Krylov and R{ö}ckner from non-degenerate to degenerate cases. The existence of a threshold for the H{ö}lder exponent in the degenerate case may be understood as the price to pay to balance the degeneracy of the noise. Our proof relies on regularization properties of the associated PDE, which is degenerate in the current framework and is based on a parametrix method.

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Paul-Eric Chaudru de Raynal. 2017-03-08. Strong existence and uniqueness for stochastic differential equation with H{ö}lder drift and degenerate noise. https://doi.org/10.1214/15-aihp716

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