arXiv subjects

Enrico Priola

Publications and source records attributed to Enrico Priola.

At least 37 records · Page 2Linked to original sources

arXiv2019

On Davie's uniqueness for some degenerate SDEs

We consider singular SDEs like \begin{equation} \label{ss} dX_t = b(t, X_t) dt + A X_t dt + σ(t) d{L}_t , \;\; t \in [0,T], \;\; X_0 =x \in {\mathbb R}^n, \end{equation} where $A$ is a real $n \times n $ matrix, i.e., $A \in {\mathbb R}^n \otimes {\mathbb R}^n$, $b$ is bounded and Hölder continuous, $σ: [0,\infty) \to {\mathbb R}^n \otimes {\mathbb R}^d $ is a locally bounded function and $L= ({L}_t)$ is an ${\mathbb R}^d$-valued Lévy process, $1 \le d \le n$. We show that strong existence and uniqueness together with $L^p$-Lipschitz dependence on the initial condition $x $ imply Davie's uniqueness or path by path uniqueness. This extends a result of [E. Priola, AIHP, 2018] proved when $n=d$, $A=0$ and $σ(t) \equiv I $. We apply the result to some singular degenerate SDEs associated to the kinetic transport operator $ \frac{1}{2} \triangle_v f + $ ${v \cdot \partial_{x}f} $ $+F(x,v)\cdot \partial_{v}f $ when $n =2d $ and $L$ is an ${\mathbb R}^d$-valued Wiener process. For such equations strong existence and uniqueness are known under Hölder type conditions on $b$. We show that in addition also Davie's uniqueness holds.

math.PR↗

arXiv2019

Schauder estimates for drifted fractional operators in the supercritical case

We consider a non-local operator $L_{ α}$ which is the sum of a fractional Laplacian $\triangle^{α/2} $, $α\in (0,1)$, plus a first order term which is measurable in the time variable and locally $β$-Hölder continuous in the space variables. Importantly, the fractional Laplacian $Δ^{ α/2} $ does not dominate the first order term. We show that global parabolic Schauder estimates hold even in this case under the natural condition $α+ β>1$. Thus, the constant appearing in the Schauder estimates is in fact independent of the $L^{\infty}$-norm of the first order term. In our approach we do not use the so-called extension property and we can replace $\triangle^{α/2} $ with other operators of $α$-stable type which are somehow close, including the relativistic $α$-stable operator. Moreover, when $α\in (1/2,1)$, we can prove Schauder estimates for more general $α$-stable type operators like the singular cylindrical one, i.e., when $\triangle^{α/2} $ is replaced by a sum of one dimensional fractional Laplacians $\sum_{k=1}^d (\partial_{x_k x_k}^2 )^{α/2}$.

math.AP↗

arXiv2018

Gradient estimates for SDEs without monotonicity type conditions

We prove gradient estimates for transition Markov semigroups $(P_t)$ associated to SDEs driven by multiplicative Brownian noise having possibly unbounded $C^1$-coefficients, without requiring any monotonicity type condition. In particular, first derivatives of coefficients can grow polynomially and even exponentially. We establish pointwise estimates with weights for $D_x P_tφ$ of the form \[ {\sqrt{t}} \, |D_x P_t φ(x) | \le c \, (1+ |x|^k) \, \| φ\|_{\infty} \] $t \in (0,1]$, $φ\in C_b ({\mathbb R}^d)$, $x \in {\mathbb R}^d.$ To prove the result we use two main tools. First, we consider a Feynman--Kac semigroup with potential $V$ related to the growth of the coefficients and of their derivatives for which we can use a Bismut-Elworthy-Li type formula. Second, we introduce a new regular approximation for the coefficients of the SDE. At the end of the paper we provide an example of SDE with additive noise and drift $b$ having sublinear growth together with its derivative such that uniform estimates for $D_x P_t φ$ without weights do not hold.

math.PR↗

arXiv2018

A mean-field model with discontinuous coefficients for neurons with spatial interaction

Starting from a microscopic model for a system of neurons evolving in time which individually follow a stochastic integrate-and-fire type model, we study a mean-field limit of the system. Our model is described by a system of SDEs with discontinuous coefficients for the action potential of each neuron and takes into account the (random) spatial configuration of neurons allowing the interaction to depend on it. In the limit as the number of particles tends to infinity, we obtain a nonlinear Fokker-Planck type PDE in two variables, with derivatives only with respect to one variable and discontinuous coefficients. We also study strong well-posedness of the system of SDEs and prove the existence and uniqueness of a weak measure-valued solution to the PDE, obtained as the limit of the laws of the empirical measures for the system of particles.

math.PR↗

arXiv2016

Davie's type uniqueness for a class of SDEs with jumps

A result of A.M. Davie [Int. Math. Res. Not. 2007] states that a multidimensional stochastic equation $dX_t = b(t, X_t)\,dt + dW_t$, $X_0=x$, driven by a Wiener process $W= (W_t)$ with a coefficient $b$ which is only bounded and measurable has a unique solution for almost all choices of the driving Brownian path. We consider a similar problem when $W$ is replaced by a Lévy process $L= (L_t)$ and $b$ is $β$-Hölder continuous in the space variable, $ β\in (0,1)$. We assume that $L_1$ has a finite moment of order $θ$, for some $θ>0$. Using also a new càdlàg regularity result for strong solutions, we prove that strong existence and uniqueness for the SDE together with $L^p$-Lipschitz continuity of the strong solution with respect to $x $ imply a Davie's type uniqueness result for almost all choices of the Lévy paths. We apply this result to a class of SDEs driven by non-degenerate $α$-stable Lévy processes, $α\in (0,2)$ and $β> 1 - α/2$.

math.PR↗

arXiv2016

Regularity of Stochastic Kinetic Equations

We consider regularity properties of stochastic kinetic equations with multiplicative noise and drift term which belongs to a space of mixed regularity ($L^p$-regularity in the velocity-variable and Sobolev regularity in the space-variable). We prove that, in contrast with the deterministic case, the SPDE admits a unique weakly differentiable solution which preserves a certain degree of Sobolev regularity of the initial condition without developing discontinuities. To prove the result we also study the related degenerate Kolmogorov equation in Bessel-Sobolev spaces and construct a suitable stochastic flow.

math.PR↗

arXiv2015

On the Cauchy problem for non-local Ornstein--Uhlenbeck operators

We study the Cauchy problem involving non-local Ornstein-Uhlenbeck operators in finite and infinite dimensions. We prove classical solvability without requiring that the Lévy measure corresponding to the large jumps part has a first finite moment. Moreover, we determine a core of regular functions which is invariant for the associated transition Markov semigroup. Such a core allows to characterize the marginal laws of the Ornstein-Uhlenbeck stochastic process as unique solutions to Fokker-Planck-Kolmogorov equations for measures.

math.AP↗

arXiv2014

On weak uniqueness for some degenerate SDEs by global $L^p$ estimates

We prove uniqueness in law for possibly degenerate SDEs having a linear part in the drift term. Diffusion coefficients corresponding to non-degenerate directions of the noise are assumed to be continuous. When the diffusion part is constant we recover the classical degenerate Ornstein-Uhlenbeck process which only has to satisfy the Hörmander hypoellipticity condition. In the proof we use global $L^p$-estimates for hypoelliptic Ornstein-Uhlenbeck operators recently proved in Bramanti-Cupini-Lanconelli-Priola (Math. Z. 266 (2010)) and adapt the localization procedure introduced by Stroock and Varadhan. Appendix contains a quite general localization principle for martingale problems.

math.PR↗

arXiv2014

$L^p$-parabolic regularity and non-degenerate Ornstein-Uhlenbeck type operators

We prove $L^p$-parabolic a-priori estimates for $\partial_t u + \sum_{i,j=1}^d c_{ij}(t)\partial_{x_i x_j}^2 u = f $ on $R^{d+1}$ when the coefficients $c_{ij}$ are locally bounded functions on $R$. We slightly generalize the usual parabolicity assumption and show that still $L^p$-estimates hold for the second spatial derivatives of $u$. We also investigate the dependence of the constant appearing in such estimates from the parabolicity constant. Finally we extend our estimates to parabolic equations involving non-degenerate Ornstein-Uhlenbeck type operators.

math.AP↗

arXiv2014

Stochastic flow for SDEs with jumps and irregular drift term

We consider non-degenerate SDEs with a $β$-Holder continuous and bounded drift term and driven by a Levy noise $L$ which is of $α$-stable type. If $α\in [1,2)$ and $β\in (1 - \fracα{2},1) $ we show pathwise uniqueness and existence of a stochastic flow. We follow the approach of [Priola, Osaka J. Math. 2012] improving the assumptions on the noise $L$. In our previous paper $L$ was assumed to be non-degenerate, $α$-stable and symmetric. Here we can also recover relativistic and truncated stable processes and some classes of temperated stable processes.

math.DS↗

arXiv2013

Remarks on the stochastic transport equation with Hölder drift

We consider a stochastic linear transport equation with a globally Hölder continuous and bounded vector field. Opposite to what happens in the deterministic case where shocks may appear, we show that the unique solution starting with a C^{1}-initial condition remains of class $C^{1}$ in space. We also improve some results of Flandoli-Gubinelli-Priola (2009) about well-posedness. Moreover, we prove a stability property for the solution with respect to the initial datum.

math.AP↗

arXiv2012

Linear Operator Inequality and Null Controllability with Vanishing Energy for unbounded control systems

We consider linear systems on a separable Hilbert space $H$, which are null controllable at some time $T_0>0$ under the action of a point or boundary control. Parabolic and hyperbolic control systems usually studied in applications are special cases. To every initial state $ y_0 \in H$ we associate the minimal "energy" needed to transfer $ y_0 $ to $ 0 $ in a time $ T \ge T_0$ ("energy" of a control being the square of its $ L^2 $ norm). We give both necessary and sufficient conditions under which the minimal energy converges to $ 0 $ for $ T\to+\infty $. This extends to boundary control systems the concept of null controllability with vanishing energy introduced by Priola and Zabczyk (Siam J. Control Optim. 42 (2003)) for distributed systems. The proofs in Priola-Zabczyk paper depend on properties of the associated Riccati equation, which are not available in the present, general setting. Here we base our results on new properties of the quadratic regulator problem with stability and the Linear Operator Inequality.

math.OC↗

arXiv2012

Global Lipschitz regularizing effects for linear and nonlinear parabolic equations

In this paper we prove global bounds on the spatial gradient of viscosity solutions to second order linear and nonlinear parabolic equations in $(0,T) \times \R^N$. Our assumptions include the case that the coefficients be both unbounded and with very mild local regularity (possibly weaker than the Dini continuity), the estimates only depending on the parabolicity constant and on the modulus of continuity of coefficients (but not on their $L^{\infty}$-norm). Our proof provides the analytic counterpart to the probabilistic proof used in Priola and Wang (J. Funct. Anal. 2006) to get this type of gradient estimates in the linear case. We actually extend such estimates to the case of possibly unbounded data and solutions as well as to the case of nonlinear operators including Bellman-Isaacs equations. We investigate both the classical regularizing effect (at time $t>0$) and the possible conservation of Lipschitz regularity from $t=0$, and similarly we prove global Hölder estimates under weaker assumptions on the coefficients. The estimates we prove for unbounded data and solutions seem to be new even in the classical case of linear equations with bounded and Hölder continuous coefficients. Applications to Liouville type theorems are also given in the paper. Finally, we compare in an appendix the analytic and the probabilistic approach discussing the analogy between the doubling variables method of viscosity solutions and the probabilistic coupling method.

math.AP↗

arXiv2012

Global $L^{p}$ estimates for degenerate Ornstein-Uhlenbeck operators with variable coefficients

We consider a class of degenerate Ornstein-Uhlenbeck operators in $\mathbb{R}^{N}$, of the kind [\mathcal{A}\equiv\sum_{i,j=1}^{p_{0}}a_{ij}(x) \partial_{x_{i}x_{j}}^{2}+\sum_{i,j=1}^{N}b_{ij}x_{i}\partial_{x_{j}}%] where $(a_{ij})$ is symmetric uniformly positive definite on $\mathbb{R}^{p_{0}}$ ($p_{0}\leq N$), with uniformly continuous and bounded entries, and $(b_{ij})$ is a constant matrix such that the frozen operator $\mathcal{A}_{x_{0}}$ corresponding to $a_{ij}(x_{0})$ is hypoelliptic. For this class of operators we prove global $L^{p}$ estimates ($1<p<\infty$) of the kind:% [|\partial_{x_{i}x_{j}}^{2}u|_{L^{p}(\mathbb{R}% ^{N})}\leq c{|\mathcal{A}u|_{L^{p}(\mathbb{R}^{N})}+|u|_{L^{p}(\mathbb{R}% ^{N})}} for i,j=1,2,...,p_{0}.] We obtain the previous estimates as a byproduct of the following one, which is of interest in its own:% [|\partial_{x_{i}x_{j}}^{2}u|_{L^{p}(S_{T})}\leq c{|Lu|_{L^{p}(S_{T})}+|u|_{L^{p}(S_{T})}}] for any $u\in C_{0}^{\infty}(S_{T}),$ where $S_{T}$ is the strip $\mathbb{R}^{N}\times[-T,T]$, $T$ small, and $L$ is the Kolmogorov-Fokker-Planck operator% [L\equiv\sum_{i,j=1}^{p_{0}}a_{ij}(x,t) \partial_{x_{i}x_{j}}% ^{2}+\sum_{i,j=1}^{N}b_{ij}x_{i}\partial_{x_{j}}-\partial_{t}%] with uniformly continuous and bounded $a_{ij}$'s.

math.AP↗

arXiv2011

Structural properties of semilinear SPDEs driven by cylindrical stable processes

We consider a class of semilinear stochastic evolution equations driven by an additive cylindrical stable noise.We investigate structural properties of the solutions like Markov, irreducibility, stochastic continuity, Feller and strong Feller properties, and study integrability of trajectories. The obtained results can be applied to semilinear stochastic heat equations with Dirichlet boundary conditions and bounded and Lipschitz nonlinearities.

math.AP↗

arXiv2010

Exponential mixing for some SPDEs with Lévy noise

We show how gradient estimates for transition semigroups can be used to establish exponential mixing for a class of Markov processes in infinite dimensions. We concentrate on semilinear systems driven by cylindrical $α$-stable noises, $α\in (0,2)$, introduced in Priola-Zabczyk "Structural properties of semilinear SPDEs driven by cylindrical stable processes" (PTRF to appear). We first prove that if the nonlinearity is bounded, then the system is ergodic and strong mixing. Then we show that the system is exponentially mixing provided that the nonlinearity, or its Lipschitz constant, are sufficiently small.

math.AP↗

arXiv2010

Pathwise uniqueness for singular SDEs driven by stable processes

We prove pathwise uniqueness for stochastic differential equations driven by non-degenerate symmetric $α$-stable Lévy processes with values in $\R^d$ having a bounded and $β$-Hölder continuous drift term. We assume $β> 1 - \fracα{2} $ and $α\in [ 1, 2)$. The proof requires analytic regularity results for associated integro-differential operators of Kolmogorov type. We also study differentiability of solutions with respect to initial conditions and the homeomorphism property.

math.DS↗

arXiv2010

A Sharp Liouville Theorem for Elliptic Operators

We introduce a new condition on elliptic operators $L= {1/2}\triangle + b \cdot \nabla $ which ensures the validity of the Liouville property for bounded solutions to $Lu=0$ on $\R^d$. Such condition is sharp when $d=1$. We extend our Liouville theorem to more general second order operators in non-divergence form assuming a Cordes type condition.

math.AP↗