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2014 Hölder continuity property of the densities of SDEs with singular drift coefficients
Masafumi Hayashi, Arturo Kohatsu, Go Yuki
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Electron. J. Probab. 19: 1-22 (2014). DOI: 10.1214/EJP.v19-2609

Abstract

We prove that the solution of stochastic differential equations with deterministic diffusion coefficient admits a Hölder continuous density via a condition on the integrability of the Fourier transform of the drift coefficient. In our result, the integrability is an important factor to determine the order of Hölder continuity of the density. Explicit examples and some applications are given.

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Masafumi Hayashi. Arturo Kohatsu. Go Yuki. "Hölder continuity property of the densities of SDEs with singular drift coefficients." Electron. J. Probab. 19 1 - 22, 2014. https://doi.org/10.1214/EJP.v19-2609

Information

Accepted: 26 August 2014; Published: 2014
First available in Project Euclid: 4 June 2016

zbMATH: 1310.60081
MathSciNet: MR3256877
Digital Object Identifier: 10.1214/EJP.v19-2609

Subjects:
Primary: 60H07
Secondary: 60H10

JOURNAL ARTICLE
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