Well-posedness Of Stochastic Differential Equations Research Articles

Fundamental solution to 1D degenerate diffusion equation with locally bounded coefficients

In this work we study the degenerate diffusion equation ∂t=xαa(x)∂x2+b(x)∂x for (x,t)∈(0,∞)2, equipped with a Cauchy initial data and the Dirichlet boundary condition at 0. We assume that the order of degeneracy at 0 of the diffusion operator is α∈(0,2), and the coefficient functions (and their derivatives) are only locally bounded. We adopt a combination of probabilistic approach and analytic method: by analyzing the behaviors of the underlying diffusion process, we give an explicit construction to the fundamental solution p(x,y,t) and prove several properties for p(x,y,t); by conducting a localization procedure, we obtain an approximation for p(x,y,t) for x,y in a neighborhood of 0 and t sufficiently small, where the error estimates only rely on the local bounds of a(x) and b(x) (and their derivatives). There is a rich literature on such a degenerate diffusion in the case of α=1. Our work extends part of the existing results to the cases with more general order of degeneracy, both in the analysis context (e.g., heat kernel estimates on fundamental solutions) and in the probabilistic view (e.g., wellposedness of stochastic differential equations).

Limit Theorems for Stochastic Differential Equations with Discontinuous Coefficients

In this article we prove a transference principle for stochastic differential equations (SDEs) with discontinuous coefficients. In particular, the well-posedness of SDEs and Fokker–Planck equations with irregular coefficients is established.