We prove uniqueness in law for possibly degenerate SDEs having a linear part in the drift term. Diffusion coefficients corresponding to non-degenerate directions of the noise are assumed to be continuous. When the diffusion part is constant we recover the classical degenerate Ornstein-Uhlenbeck process which only has to satisfy the Hörmander hypoellipticity condition. In the proof we also use global Lp-estimates for hypoelliptic Ornstein-Uhlenbeck operators recently proved in Bramanti et al. (Math. Z. 266, 789–816 2010) and adapt the localization procedure introduced by Stroock and Varadhan. Appendix contains a quite general localization principle for martingale problems.
On weak uniqueness for some degenerate SDEs by global Lp estimates
Enrico Priola
2015-01-01
Abstract
We prove uniqueness in law for possibly degenerate SDEs having a linear part in the drift term. Diffusion coefficients corresponding to non-degenerate directions of the noise are assumed to be continuous. When the diffusion part is constant we recover the classical degenerate Ornstein-Uhlenbeck process which only has to satisfy the Hörmander hypoellipticity condition. In the proof we also use global Lp-estimates for hypoelliptic Ornstein-Uhlenbeck operators recently proved in Bramanti et al. (Math. Z. 266, 789–816 2010) and adapt the localization procedure introduced by Stroock and Varadhan. Appendix contains a quite general localization principle for martingale problems.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
