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arXiv · 1801.00761

Ornstein-Uhlenbeck processes with singular drifts: integral estimates and Girsanov densities

Maria Gordina·Michael Röckner·Alexander Teplyaev
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Abstract

We consider a perturbation of a Hilbert space-valued Ornstein--Uhlenbeck process by a class of singular nonlinear non-autonomous maximal monotone time-dependent drifts. The only further assumption on the drift is that it is bounded on balls in the Hilbert space uniformly in time. First we introduce a new notion of generalized solutions for such equations which we call pseudo-weak solutions and prove that they always exist and obtain pathwise estimates in terms of the data of the equation. Then we prove that their laws are absolutely continuous with respect to the law of the original Ornstein--Uhlenbeck process. In particular, we show that pseudo-weak solutions always have continuous sample paths. In addition, we obtain integrability estimates of the associated Girsanov densities. Some of our results concern non-random equations as well, while probabilistic results are new even in finite-dimensional autonomous settings.

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Maria Gordina, Michael Röckner, Alexander Teplyaev. 2020-06-14. Ornstein-Uhlenbeck processes with singular drifts: integral estimates and Girsanov densities. https://arxiv.org/abs/1801.00761

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