SDEs with random and irregular coefficients

We consider It\^o uniformly nondegenerate equations with random coefficients. When the coefficients satisfy some low regularity assumptions with respect to the spatial variables and Malliavin differentiability assumptions on the sample points, the unique solvability of singular SDEs is proved by sol...

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1. Verfasser: Zhao, Guohuan
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Sprache:eng
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Zusammenfassung:We consider It\^o uniformly nondegenerate equations with random coefficients. When the coefficients satisfy some low regularity assumptions with respect to the spatial variables and Malliavin differentiability assumptions on the sample points, the unique solvability of singular SDEs is proved by solving backward stochastic Kolmogorov equations and utilizing a modified Zvonkin type transformation.
DOI:10.48550/arxiv.2003.04436