The Annals of Probability

Brownian motion with singular drift

Abstract

We consider the stochastic differential equation $dX_t=dW_t+dA_t,$ where $W_t$ is $d$-dimensional Brownian motion with $d\geq 2$ and the $i$th component of $A_t$ is a process of bounded variation that stands in the same relationship to a measure $\pi^i$ as $\int_0^t f(X_s)\, ds$ does to the measure $f(x)\, dx$. We prove weak existence and uniqueness for the above stochastic differential equation when the measures $\pi^i$ are members of the Kato class $\K_{d-1}$. As a typical example, we obtain a Brownian motion that has upward drift when in certain fractal-like sets and show that such a process is unique in law.

Article information

Source
Ann. Probab., Volume 31, Number 2 (2003), 791-817.

Dates
First available in Project Euclid: 24 March 2003

https://projecteuclid.org/euclid.aop/1048516536

Digital Object Identifier
doi:10.1214/aop/1048516536

Mathematical Reviews number (MathSciNet)
MR1964949

Zentralblatt MATH identifier
1029.60044

Citation

Bass, Richard F.; Chen, Zhen-Qing. Brownian motion with singular drift. Ann. Probab. 31 (2003), no. 2, 791--817. doi:10.1214/aop/1048516536. https://projecteuclid.org/euclid.aop/1048516536

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• STORRS, CONNECTICUT 06269 E-MAIL: bass@math.uconn.edu DEPARTMENT OF MATHEMATICS UNIVERSITY OF WASHINGTON BOX 354350
• SEATTLE, WASHINGTON 98195-4350 E-MAIL: zchen@math.washington.edu