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Analytic Theory of Ito-Stochastic Differential Equations with Non-smooth Coefficients

Af: Gerald Trutnau, Haesung Lee, Wilhelm Stannat Engelsk Paperback

Analytic Theory of Ito-Stochastic Differential Equations with Non-smooth Coefficients

Af: Gerald Trutnau, Haesung Lee, Wilhelm Stannat Engelsk Paperback
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This book provides analytic tools to describe local and global behavior of solutions to Itô-stochastic differential equations with non-degenerate Sobolev diffusion coefficients and locally integrable drift. Regularity theory of partial differential equations is applied to construct such solutions and to obtain strong Feller properties, irreducibility, Krylov-type estimates, moment inequalities, various types of non-explosion criteria, and long time behavior, e.g., transience, recurrence, and convergence to stationarity. 
The approach is based on the realization of the transition semigroup associated with the solution of a stochastic differential equation as a strongly continuous semigroup in the Lp-space with respect to a weight that plays the role of a sub-stationary or stationary density. This way we obtain in particular a rigorous functional analytic description of the generator of the solution of a stochastic differential equation and its full domain. The existence of such a weight is shown under broad assumptions on the coefficients. A remarkable fact is that although the weight may not be unique, many important results are independent of it. 
Given such a weight and semigroup, one can construct and further analyze in detail a weak solution to the stochastic differential equation combining variational techniques, regularity theory for partial differential equations, potential, and generalized Dirichlet form theory. 
Under classical-like or various other criteria for non-explosion we obtain as one of our main applications the existence of a pathwise unique and strong solution with an infinite lifetime. These results substantially supplement the classical case of locally Lipschitz or monotone coefficients.
We further treat other types of uniqueness and non-uniqueness questions, such as uniqueness and non-uniqueness of the mentioned weights and uniqueness in law, in a certain sense, of the solution.

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This book provides analytic tools to describe local and global behavior of solutions to Itô-stochastic differential equations with non-degenerate Sobolev diffusion coefficients and locally integrable drift. Regularity theory of partial differential equations is applied to construct such solutions and to obtain strong Feller properties, irreducibility, Krylov-type estimates, moment inequalities, various types of non-explosion criteria, and long time behavior, e.g., transience, recurrence, and convergence to stationarity. 
The approach is based on the realization of the transition semigroup associated with the solution of a stochastic differential equation as a strongly continuous semigroup in the Lp-space with respect to a weight that plays the role of a sub-stationary or stationary density. This way we obtain in particular a rigorous functional analytic description of the generator of the solution of a stochastic differential equation and its full domain. The existence of such a weight is shown under broad assumptions on the coefficients. A remarkable fact is that although the weight may not be unique, many important results are independent of it. 
Given such a weight and semigroup, one can construct and further analyze in detail a weak solution to the stochastic differential equation combining variational techniques, regularity theory for partial differential equations, potential, and generalized Dirichlet form theory. 
Under classical-like or various other criteria for non-explosion we obtain as one of our main applications the existence of a pathwise unique and strong solution with an infinite lifetime. These results substantially supplement the classical case of locally Lipschitz or monotone coefficients.
We further treat other types of uniqueness and non-uniqueness questions, such as uniqueness and non-uniqueness of the mentioned weights and uniqueness in law, in a certain sense, of the solution.

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Produktdetaljer
Sprog: Engelsk
Sider: 126
ISBN-13: 9789811938306
Indbinding: Paperback
Udgave:
ISBN-10: 981193830X
Kategori: Reel analyse, reelle variabler
Udg. Dato: 28 aug 2022
Længde: 0mm
Bredde: 155mm
Højde: 235mm
Forlag: Springer Verlag, Singapore
Oplagsdato: 28 aug 2022
Forfatter(e): Gerald Trutnau, Haesung Lee, Wilhelm Stannat
Forfatter(e) Gerald Trutnau, Haesung Lee, Wilhelm Stannat

Kategori Reel analyse, reelle variabler

ISBN-13 9789811938306

Sprog Engelsk

Indbinding Paperback

Sider 126

Udgave

Længde 0mm

Bredde 155mm

Højde 235mm

Udg. Dato 28 aug 2022

Oplagsdato 28 aug 2022

Forlag Springer Verlag, Singapore