Stochastic differential equations with Sobolev diffusion and singular drift and applications

Abstract

In this paper, we study properties of solutions to stochastic differential equations with Sobolev diffusion coefficients and singular drifts. The properties we study include stability with respect to the coefficients, weak differentiability with respect to starting points and the Malliavin differentiability with respect to sample paths. We also establish Bismut–Elworthy–Li’s formula for the solutions. As an application, we use the stochastic Lagrangian representation of incompressible Navier–Stokes equations given by Constantin–Iyer [Comm. Pure Appl. Math. 61 (2008) 330–345] to prove the local well-posedness of NSEs in $\mathbb{R}^{d}$ with initial values in the first-order Sobolev space $\mathbb{W}^{1}_{p}(\mathbb{R}^{d};\mathbb{R}^{d})$ provided $p>d$.