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arXiv · 1401.6010

Multidimensional stochastic differential equations with distributional drift

Franco Flandoli·Elena Issoglio·Francesco Russo
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Abstract

This paper investigates a time-dependent multidimensional stochastic differential equation with drift being a distribution in a suitable class of Sobolev spaces with negative derivation order. This is done through a careful analysis of the corresponding Kolmogorov equation whose coefficient is a distribution.

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Franco Flandoli, Elena Issoglio, Francesco Russo. 2015-07-29. Multidimensional stochastic differential equations with distributional drift. https://arxiv.org/abs/1401.6010

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