WEAK WELL POSEDNESS FOR HYPOELLIPTIC STOCHASTIC DIFFERENTIAL EQUATION WITH SINGULAR DRIFT: A SHARP RESULT - Archive ouverte HAL Access content directly
Preprints, Working Papers, ... Year : 2016

WEAK WELL POSEDNESS FOR HYPOELLIPTIC STOCHASTIC DIFFERENTIAL EQUATION WITH SINGULAR DRIFT: A SHARP RESULT

Paul-Eric Chaudru de Raynal
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Abstract

In this paper, we prove weak uniqueness of hypoelliptic stochastic differential equation with Hölder drift, with Hölder exponent strictly greater than 1/3. We then extend to a weak framework the previous work [CdR12] where strong uniqueness was proved when the Hölder exponent is strictly greater than 2/3. We also show that this result is sharp, by giving a counter example to weak uniqueness when the Hölder exponent is just below 1/3. Our approach is based on martingale problem formulation of Stroock and Varadhan and is based on smoothing properties of the associated PDE.
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Dates and versions

hal-01333206 , version 1 (17-06-2016)
hal-01333206 , version 2 (13-01-2019)

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Paul-Eric Chaudru de Raynal. WEAK WELL POSEDNESS FOR HYPOELLIPTIC STOCHASTIC DIFFERENTIAL EQUATION WITH SINGULAR DRIFT: A SHARP RESULT. 2016. ⟨hal-01333206v1⟩
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