Paper detail

Analytic theory of Itô-stochastic differential equations with non-smooth coefficients

We present a detailed analysis of non-degenerate time-homogeneous Itô-stochastic differential equations with low local regularity assumptions on the coefficients. In particular the drift coefficient may only satisfy a local integrability condition. We discuss non-explosion, irreducibility, Krylov type estimates, regularity of the transition function and resolvent, moment inequalities, recurrence, transience, long time behavior of the transition function, existence and uniqueness of invariant measures, as well as pathwise uniqueness, strong solutions and uniqueness in law. This analysis shows in particular that sharp explicit conditions for the various mentioned properties can be derived similarly to the case of classical stochastic differential equations with local Lipschitz coefficients.