Stochastic equations with low regularity drifts

Abstract

By using the It\^{o}-Tanaka trick, we prove the unique strong solvability as well as the gradient estimates for stochastic differential equations with irregular drifts in low regularity Lebesgue-H\"{o}lder space $L^q(0,T;{\mathcal C}_b^\alpha({\mathbb R}^d))$ with $\alpha\in(0,1)$ and $q\in (2/(1+\alpha),2$). As applications, we show the unique weak and strong solvability for stochastic transport equations driven by the low regularity drift with $q\in (4/(2+\alpha),2$) as well as the local Lipschitz estimate for stochastic strong solutions.