arXiv subjects

Gerald Trutnau

Publications and source records attributed to Gerald Trutnau.

At least 19 recordsLinked to original sources

arXiv2026

Weighted Helmholtz--Hodge decompositions, Lyapunov functions, and invariant measures

We study weighted Helmholtz--Hodge decompositions of drift vector fields associated with second-order diffusion operators on $\mathbb{R}^d$, $d\ge 2$. Given a decomposition of the form \[ \mathbf{G}=A\nabla\Phi+\mathbf{B}, \] we relate the weighted divergence-free condition $\mathrm{div}_{\mu}(\mathbf{B})=0$, where $\mu=e^{2\Phi}dx$, to infinitesimal invariance of $\mu$ for the operator \[ \frac12 \mathrm{trace}(A\nabla^2)+\langle \mathbf{G},\nabla\cdot\rangle. \] We compare weighted, orthogonal, and strictly orthogonal Helmholtz--Hodge decompositions and show that uniqueness of the infinitesimally invariant measure yields uniqueness of the corresponding weighted decomposition, and hence a canonical potential. For linear vector fields, we characterize Gaussian infinitesimally invariant measures by an algebraic Riccati equation together with a trace condition. In the Ornstein--Uhlenbeck case, this gives a structural proof of the classical criterion that a finite invariant measure exists if and only if the drift matrix is Hurwitz, and it identifies the associated strictly orthogonal decomposition. Finally, we treat nonlinear polynomial perturbations that preserve a given potential and obtain explicit classes of drifts for which the invariant measure and the weighted decomposition remain unique. The results clarify the relation between Lyapunov-type potentials, non-reversible perturbations, and invariant measures for diffusion semigroups.

math.PR↗

arXiv2024

Pointwise well-posedness results for degenerate It\^{o}-SDEs with locally bounded drifts

Building on results developed in https://doi.org/10.48550/arXiv.2404.14902, where It\^{o}-SDEs with possibly degenerate and discontinuous dispersion coefficient and measurable drift were analyzed with respect to a given (sub-)invariant measure, we develop here additional elliptic regularity results for PDEs and consider the same equations with some further regularity assumptions on the coefficients to provide a pointwise analysis for every starting point in Euclidean space, $d\ge 2$. Our main result is (weak) well-posedness, i.e. weak existence and uniqueness in law, which we obtain under our main assumption for any locally bounded drift and arbitrary starting point among all solutions that spend zero time at the points of degeneracy of the dispersion coefficient. The points of degeneracy form a $d$-dimensional Lebesgue measure zero set, but may be hit by the weak solutions. Weak existence for arbitrary starting point is obtained under broader assumptions. In particular, in that case the drift does not need to be locally bounded.

math.PR↗

arXiv2024

Uniqueness in law for singular degenerate SDEs with respect to a (sub-)invariant measure

We show weak existence and uniqueness in law for a general class of stochastic differential equations in $\mathbb{R}^d$, $d\ge 1$, with prescribed sub-invariant measure $\widehat{\mu}$. The dispersion and drift coefficients of the stochastic differential equation are allowed to be degenerate and discontinuous, and locally unbounded, respectively. Uniqueness in law is obtained via $L^1(\mathbb{R}^d,\widehat{\mu})$-uniqueness in a subclass of continuous Markov processes, namely right processes that have $\widehat{\mu}$ as sub-invariant measure and have continuous paths for $\widehat{\mu}$-almost every starting point. Weak existence is obtained for a broader class via the martingale problem.

math.PR↗

arXiv2022

Analytic theory of Itô-stochastic differential equations with non-smooth coefficients

We present a detailed analysis of non-degenerate time-homogeneous Itô-stochastic differential equations with low local regularity assumptions on the coefficients. In particular the drift coefficient may only satisfy a local integrability condition. We discuss non-explosion, irreducibility, Krylov type estimates, regularity of the transition function and resolvent, moment inequalities, recurrence, transience, long time behavior of the transition function, existence and uniqueness of invariant measures, as well as pathwise uniqueness, strong solutions and uniqueness in law. This analysis shows in particular that sharp explicit conditions for the various mentioned properties can be derived similarly to the case of classical stochastic differential equations with local Lipschitz coefficients.

math.PR↗

arXiv2022

Existence and uniqueness of (infinitesimally) invariant measures for second order partial differential operators on Euclidean space

We consider a locally uniformly strictly elliptic second order partial differential operator in $\mathbb{R}^d$, $d\ge 2$, with low regularity assumptions on its coefficients, as well as an associated Hunt process and semigroup. The Hunt process is known to solve a corresponding stochastic differential equation that is pathwise unique. In this situation, we study the relation of invariance, infinitesimal invariance, recurrence, transience, conservativeness and $L^r$-uniqueness, and present sufficient conditions for non-existence of finite infinitesimally invariant measures as well as finite invariant measures. Our main result is that recurrence implies uniqueness of infinitesimally invariant measures, as well as existence and uniqueness of invariant measures, both in subclasses of locally finite measures. We can hence make in particular use of various explicit analytic criteria for recurrence that have been previously developed in the context of (generalized) Dirichlet forms and present diverse examples and counterexamples for uniqueness of infinitesimally invariant, as well as invariant measures and an example where $L^1$-uniqueness fails for one infinitesimally invariant measure but holds for another and pathwise uniqueness holds. Furthermore, we illustrate how our results can be applied to related work and vice versa.

math.PR↗

arXiv2020

Existence and regularity of infinitesimally invariant measures, transition functions and time homogeneous Itô-SDEs

We show existence of an infinitesimally invariant measure $m$ for a large class of divergence and non-divergence form elliptic second order partial differential operators with locally Sobolev regular diffusion coefficient and drift of some local integrability order. Subsequently, we derive regularity properties of the corresponding semigroup which is defined in $L^s(\mathbb{R}^d,m)$, $s\in [1,\infty]$, including the classical strong Feller property and classical irreducibility. This leads to a transition function of a Hunt process that is explicitly identified as a solution to an SDE. Further properties of this Hunt process, like non-explosion, moment inequalities, recurrence and transience, as well as ergodicity, including invariance and uniqueness of $m$, and uniqueness in law, can then be studied using the derived analytical tools and tools from generalized Dirichlet form theory.

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arXiv2020

Existence, uniqueness and ergodic properties for time-homogeneous Itô-SDEs with locally integrable drifts and Sobolev diffusion coefficients

Using elliptic and parabolic regularity results in $L^p$-spaces and generalized Dirichlet form theory, we construct for every starting point weak solutions to SDEs in $\mathbb{R}^d$ up to their explosion times including the following conditions. For arbitrary but fixed $p>d$ the diffusion coefficient $A=(a_{ij})_{1\le i,j\le d}$ is locally uniformly strictly elliptic with functions $a_{ij}\in H^{1,p}_{loc}(\mathbb{R}^d)$ and the drift coefficient $\mathbf{G}=(g_1,\dots, g_d)$ consists of functions $g_i\in L^p_{loc}(\mathbb{R}^d)$. The solution originates by construction from a Hunt process with continuous sample paths on the one-point compactification of $\mathbb{R}^d$ and the corresponding SDE is by a known local well-posedness result pathwise unique up to an explosion time. Just under the given assumptions we show irreducibility and the strong Feller property on $L^{1}(\mathbb{R}^d,m)+L^{\infty}(\mathbb{R}^d,m)$ of its transition function, and the strong Feller property on $L^{q}(\mathbb{R}^d,m)+L^{\infty}(\mathbb{R}^d,m)$, $q=\frac{dp}{d+p}\in (d/2,p/2)$, of its resolvent, which both include the classical strong Feller property. We present moment inequalities and classical-like non-explosion criteria for the solution which lead to pathwise uniqueness results up to infinity under presumably optimal general non-explosion conditions. We further present explicit conditions for recurrence and ergodicity, including existence as well as uniqueness of invariant probability measures.

math.PR↗

arXiv2019

Well-posedness for a class of degenerate Itô-SDEs with fully discontinuous coefficients

We show uniqueness in law for a general class of stochastic differential equations in $\mathbb{R}^d$, $d\ge 2$, with possibly degenerate and/or fully discontinuous locally bounded coefficients among all weak solutions that spend zero time at the points of degeneracy of the dispersion matrix. The points of degeneracy have $d$-dimensional Lebesgue-Borel measure zero. Weak existence is obtained for more general, not necessarily locally bounded drift coefficient.

math.PR↗

arXiv2017

Recurrence criteria for generalized Dirichlet forms

We develop sufficient analytic conditions for recurrence and transience of non-sectorial perturbations of possibly non-symmetric Dirichlet forms on a general state space. These form an important subclass of generalized Dirichlet forms which were introduced in \cite{St1}. In case there exists an associated process, we show how the analytic conditions imply recurrence and transience in the classical probabilistic sense. As an application, we consider a generalized Dirichlet form given on a closed or open subset of $\mathbb{R}^d$ which is given as a divergence free first order perturbation of a non-symmetric energy form. Then using volume growth conditions of the sectorial and non-sectorial first order part, we derive an explicit criterion for recurrence. Moreover, we present concrete examples with applications to Muckenhoupt weights and counterexamples. The counterexamples show that the non-sectorial case differs qualitatively from the symmetric or non-symmetric sectorial case. Namely, we make the observation that one of the main criteria for recurrence in these cases fails to be true for generalized Dirichlet forms.

math.PR↗

arXiv2016

Conservativeness criteria for generalized Dirichlet forms

We develop sufficient analytic conditions for conservativeness of non-sectorial perturbations of symmetric Dirichlet forms which can be represented through a carré du champ on a locally compact separable metric space. These form an important subclass of generalized Dirichlet forms which were introduced in \cite{St1}. In case there exists an associated strong Feller process, the analytic conditions imply conservativeness, i.e. non-explosion of the associated process in the classical probabilistic sense. As an application of our general results on locally compact separable metric state spaces, we consider a generalized Dirichlet form given on a closed or open subset of $\mathbb{R}^d$ which is given as a divergence free first order perturbation of a symmetric energy form. Then using volume growth conditions of the carré du champ and the non-sectorial first order part, we derive an explicit criterion for conservativeness. We present several concrete examples which relate our results to previous ones obtained by different authors. In particular, we show that conservativeness can hold for a cubic variance if the drift is strong enough to compensate it. This work continues our previous work on transience and recurrence of generalized Dirichlet forms.

math.PR↗

arXiv2016

On singular stochastic differential equations and Dirichlet forms

This survey paper is a structured concise summary of four of our recent papers on the stochastic regularity of diffusions that are associated to regular strongly local (but not necessarily symmetric) Dirichlet forms. Here by stochastic regularity we mean the question whether a diffusion associated to a Dirichlet form as mentioned above can be started and identified as a solution to an explicit stochastic differential equation for explicitly given starting points. Beyond the stochastic regularity, we consider its applications to strong existence and pathwise uniqueness of singular stochastic differential equations.

math.PR↗

arXiv2016

Pointwise weak existence for diffusions associated with degenerate elliptic forms and 2-admissible weights

Using analysis for 2-admissible functions in weighted Sobolev spaces and stochastic calculus for possibly degenerate symmetric elliptic forms, we construct weak solutions to a wide class of stochastic differential equations starting from an explicitly specified subset in Euclidean space. The solutions have typically unbounded and discontinuous drift but may still in some cases start from all points of $\mathbb{R}^d$ and thus in particular from those where the drift terms are infinite. As a consequence of our approach we are able to provide new non-explosion criteria for the unique strong solutions of \cite{Zh}.

math.PR↗

arXiv2016

Non-symmetric distorted Brownian motion: strong solutions, strong Feller property and non-explosion results

Using elliptic regularity results in weighted spaces, stochastic calculus and the theory of non-symmetric Dirichlet forms, we first show weak existence of non-symmetric distorted Brownian motion for any starting point in some domain $E$ of $\mathbb{R}^d$, where $E$ is explicitly given as the points of strict positivity of the unique continuous version of the density to its invariant measure. Non-symmetric distorted Brownian motion is a singular diffusion, i.e. a diffusion that typically has an unbounded and discontinuous drift. Once having shown weak existence, we obtain from a result of \cite{KR} that the constructed weak solution is indeed strong and weakly as well as pathwise unique up to its explosion time. As a consequence of our approach, we can use the theory of Dirichlet forms to prove further properties of the solutions. More precisely, we obtain new non-explosion criteria for them. We finally present concrete existence and non-explosion results for non-symmetric distorted Brownian motion related to a class of Muckenhoupt weights and corresponding divergence free perturbations.

math.PR↗

arXiv2015

On the stochastic regularity of distorted Brownian motions

We systematically develop general tools to apply Fukushima's absolute continuity condition. These tools comprise methods to obtain a Hunt process on a locally compact separable metric state space whose transition function has a density w.r.t. the reference measure and methods to estimate drift potentials comfortably. We then apply our results to distorted Brownian motions and construct weak solutions to singular stochastic differential equations, i.e. equations with possibly unbounded and discontinuous drift and reflection terms which may be the sum of countably many local times. The solutions can start from any point of the explicitly specified state space. We consider different kind of weights, like Muckenhoupt $A_2$ weights and weights with moderate growth at singularities as well as different kind of (multiple) boundary conditions. Our approach leads in particular to the construction and explicit identification of countably skew reflected and normally reflected Brownian motions with singular drift in bounded and unbounded multi-dimensional domains

math.PR↗

arXiv2015

About the infinite dimensional skew and obliquely reflected Ornstein-Uhlenbeck process

Based on an integration by parts formula for closed and convex subsets $Γ$ of a separable real Hilbert space $H$ with respect to a Gaussian measure, we first construct and identify the infinite dimensional analogue of the obliquely reflected Ornstein-Uhlenbeck process (perturbed by a bounded drift $B$) by means of a Skorokhod type decomposition. The variable oblique reflection at a reflection point of the boundary $\partial Γ$ is uniquely described through a reflection angle and a direction in the tangent space (more precisely through an element of the orthogonal complement of the normal vector) at the reflection point. In case of normal reflection at the boundary of a regular convex set and under some monotonicity condition on $B$, we prove the existence and uniqueness of a strong solution to the corresponding SDE. Subsequently, we consider an increasing sequence $(Γ_{α_k})_{k\in\mathbb{Z}}$ of closed and convex subsets of $H$ and the skew reflection problem at the boundaries of this sequence. We present concrete examples and obtain as a special case the infinite dimensional analogue of the $p$-skew reflected Ornstein-Uhlenbeck process.

math.PR↗

arXiv2015

On countably skewed Brownian motion with accumulation point

In this work we connect the theory of Dirichlet forms and direct stochastic calculus to obtain strong existence and pathwise uniqueness for Brownian motion that is perturbed by a series of constant multiples of local times at a sequence of points that has exactly one accumulation point in $\mathbb{R}$. The considered process is identified as special distorted Brownian motion $X$ in dimension one and is studied thoroughly. Besides strong uniqueness, we present necessary and sufficient conditions for non-explosion, recurrence and positive recurrence as well as for $X$ to be semimartingale and possible applications to advection-diffusion in layered media.

math.PR↗

arXiv2014

Pointwise weak existence of distorted skew Brownian motion with respect to discontinuous Muckenhoupt weights

For any starting point in $\mathbb{R}^d$, we identify the stochastic differential equation that is satisfied by distorted Brownian motion with respect to a certain discontinuous Muckenhoupt $A_2$-weight $ψ$. The discontinuities of $ψ$ typically take place on a sequence of level sets of the Euclidean norm $D_k:=\{x\in \mathbb{R}^d\, | \;\|x\|=d_k\}$, $k\in\mathbb{Z}$, where $(d_k)_{k\in\mathbb{Z}}\subset (0,\infty)$ may have accumulation points and each level set $D_k$ plays the role of a permeable membrane.

math.PR↗

arXiv2013

Explicit recurrence criteria for symmetric gradient type Dirichlet forms satisfying a Hamza type condition

In this note, we present explicit conditions for symmetric gradient type Dirichlet forms to be recurrent. This type of Dirichlet form is typically strongly local and hence associated to a diffusion. We consider the one dimensional case and the multidimensional case, as well as the case with reflecting boundary conditions. Our main achievement is that the explicit results are obtained under quite weak assumptions on the closability, hence regularity of the underlying coefficients. Especially in dimension one, where a Hamza type condition is assumed, the construction of the sequence of functions $(u_n)_{n\in \N}$ in the Dirichlet space that determine recurrence works for quite general Dirichlet forms but is still explicit.

math.PR↗