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arXiv · 1206.1117

Local Hölder continuity property of the Densities of Solutions of SDEs with Singular Coefficients

Masafumi Hayashi·Arturo Kohatsu-Higa·Go Yuki
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Abstract

We prove that the weak solution of a uniformly elliptic stochastic differential equation with locally smooth diffusion coefficient and Hölder continuous drift has a Hölder continuous density function. This result complements recent results of Fournier-Printems \cite{F1}, where the density is shown to exist if both coefficients are Hölder continuous and exemplifies the role of the drift coefficient in the regularity of the density of a diffusion.

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Masafumi Hayashi, Arturo Kohatsu-Higa, Go Yuki. 2012-06-06. Local Hölder continuity property of the Densities of Solutions of SDEs with Singular Coefficients. https://arxiv.org/abs/1206.1117

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