Work

Strong solutions of SDEs with critical discontinuities in diffusion coefficients

Year: 2026

Type: preprint

Abstract: We prove strong existence for Itô SDEs with diffusion coefficients that can introduce strong attraction to a submanifold. We extend and strengthen the Röckner-Zhao approach, which uses Malliavin calculus to establish compactness of the approximating solutions in Wiener-Sobolev space. At least when the diffusion coefficients are sufficiently regular in time, this provides an alternative to Krylov's recent proof of strong existence via analysis of the Itô-Duhamel series.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.2608.28528

Authors: Boutiah, S. E., Kinzebulatov, D.

Institution: Université Laval

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: Natural Sciences and Engineering Research Council of Canada

Award: G4257410901

OpenAlex ID: W7204829714

Cites: 9

Cited by: 1

Related to: 10