Strong solutions of SDES with singular drift and Sobolev diffusion coefficients

In this paper we prove the existence of a unique strong solution up to the explosion time for an SDE with a uniformly non-degenerate Sobolev diffusion coefficient (non-Lipschtiz) and locally integrable drift coefficient. Moreover, two non-explosion conditions are given.

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Year of publication:	2005
Authors:	Zhang, Xicheng
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 115.2005, 11, p. 1805-1818
Publisher:	Elsevier
Keywords:	Strong solution Krylov's estimate Zvonkin's transformation Sobolev space

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008873090