Energy solutions to SDEs with supercritical distributional drift: An extension and weak convergence rates
Fuente:
arXiv
Saved in:
| Main Author: | |
|---|---|
| Format: | Preprint |
| Published: |
2024
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866913801598664704 |
|---|---|
| author | Gräfner, Lukas |
| author_facet | Gräfner, Lukas |
| contents | In this work we consider the SDE \begin{equation} \text{d} X_t = b (t, X_t) \text{d} t + \sqrt{2} \text{d} B_t, \label{mainSDE} \end{equation} in dimension $d \geqslant 2$, where $B$ is a Brownian motion and $b : \mathbb{R}_+ \rightarrow \mathcal{S}' (\mathbb{R}^d , \mathbb{R}^d)$ is distributional, scaling super-critical and satisfies $\nabla \cdot b \equiv 0$. We partially extend the super-critical weak well-posedness result for energy solutions from [GP24] by allowing a mixture of the regularity regimes treated therein: Outside of neighbourhoods of a small (and compared to [GP24] ''time-dependent'') local singularity set $K \subset \mathbb{R}_+ \times \mathbb{R}^d$, $b$ is assumed to be in a certain supercritical $L^q_T H^{s, p}$-type class that allows a direct link between the PDE and the energy solution from a-priori estimates up to the stopping time of visiting $K$. To establish this correspondence, and thus uniqueness, globally in time we then show that $K$ is actually never visited which requires us to impose a relation between the dimension of $K$ and the Hölder regularity of $X$. In the second part of this work we derive weak convergence rates for approximations of the above equation in the case of time-independent drift, in particular with local singularities as above. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2407_09222 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Energy solutions to SDEs with supercritical distributional drift: An extension and weak convergence rates Gräfner, Lukas Probability In this work we consider the SDE \begin{equation} \text{d} X_t = b (t, X_t) \text{d} t + \sqrt{2} \text{d} B_t, \label{mainSDE} \end{equation} in dimension $d \geqslant 2$, where $B$ is a Brownian motion and $b : \mathbb{R}_+ \rightarrow \mathcal{S}' (\mathbb{R}^d , \mathbb{R}^d)$ is distributional, scaling super-critical and satisfies $\nabla \cdot b \equiv 0$. We partially extend the super-critical weak well-posedness result for energy solutions from [GP24] by allowing a mixture of the regularity regimes treated therein: Outside of neighbourhoods of a small (and compared to [GP24] ''time-dependent'') local singularity set $K \subset \mathbb{R}_+ \times \mathbb{R}^d$, $b$ is assumed to be in a certain supercritical $L^q_T H^{s, p}$-type class that allows a direct link between the PDE and the energy solution from a-priori estimates up to the stopping time of visiting $K$. To establish this correspondence, and thus uniqueness, globally in time we then show that $K$ is actually never visited which requires us to impose a relation between the dimension of $K$ and the Hölder regularity of $X$. In the second part of this work we derive weak convergence rates for approximations of the above equation in the case of time-independent drift, in particular with local singularities as above. |
| title | Energy solutions to SDEs with supercritical distributional drift: An extension and weak convergence rates |
| topic | Probability |
| url | https://arxiv.org/abs/2407.09222 |