Title of article :
Absolute continuity under flows generated by SDE with measurable drift coefficients
Author/Authors :
Luo، نويسنده , , Dejun، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2011
Abstract :
We consider the Itô SDE with a non-degenerate diffusion coefficient and a measurable drift coefficient. Under the condition that the gradient of the diffusion coefficient and the divergences of the diffusion and drift coefficients are exponentially integrable with respect to the Gaussian measure, we show that the stochastic flow leaves the reference measure absolutely continuous.
Keywords :
stochastic differential equation , Strong solution , Density estimate , Limit theorem , Fokker–Planck equation
Journal title :
Stochastic Processes and their Applications
Journal title :
Stochastic Processes and their Applications