Title of article :
Strong solutions of SDES with singular drift and Sobolev diffusion coefficients
Author/Authors :
Zhang، نويسنده , , Xicheng، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2005
Abstract :
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.
Keywords :
Krylovיs estimate , Sobolev space , Zvonkinיs transformation , Strong solution
Journal title :
Stochastic Processes and their Applications
Journal title :
Stochastic Processes and their Applications