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arXiv · 1606.05458

Weak Well Posedness for Hypoelliptic Stochastic Differential Equation with Singular Drift: A Sharp Result

Paul-Eric Chaudru de Raynal
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Abstract

In this paper, we prove weak uniqueness of hypoelliptic stochastic differential equation with H{\"o}lder drift, with H{\"o}lder exponent strictly greater than 1/3. We then extend to a weak framework the previous work [CdR12] where strong uniqueness was proved when the H{\"o}lder exponent is strictly greater than 2/3. We also show that this result is sharp, by giving a counter example to weak uniqueness when the H{\"o}lder exponent is just below 1/3. Our approach is based on martingale problem formulation of Stroock and Varadhan and is based on smoothing properties of the associated PDE.

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Paul-Eric Chaudru de Raynal. 2016-06-17. Weak Well Posedness for Hypoelliptic Stochastic Differential Equation with Singular Drift: A Sharp Result. https://arxiv.org/abs/1606.05458

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