SDEs with singular coefficients: The martingale problem view and the stochastic dynamics view

TL;DR

This paper investigates stochastic differential equations with distributional drifts in negative Besov spaces, establishing well-posedness, properties of solutions, and their connection to associated SDEs from martingale and stochastic dynamics perspectives.

Contribution

It introduces a framework for analyzing SDEs with singular drifts via martingale problems and links these solutions to proper stochastic differential equations.

Findings

Well-posedness of the martingale problem for SDEs with singular drifts.

Continuity of solutions with respect to the drift.

Equivalence between martingale problem solutions and SDE dynamics under certain conditions.

Abstract

We consider SDEs with (distributional) drift in negative Besov spaces and random initial condition and investigate them from two different viewpoints. In the first part we set up a martingale problem and show its well-posedness.We then prove further properties of the martingale problem, like continuity with respect to the drift and the link with the Fokker-Planck equation. We also show that the solutions are weak Dirichlet processes for which we evaluate the quadratic variation of the martingale component.In the second part we identify the dynamics of the solution of the martingale problemby describing the proper associated SDE.Under suitable assumptions we show equivalence with the solution to the martingale problem.