Stochastic differential equations with coefficients in Sobolev spaces

We consider Itô SDE $\d X_t=\sum_{j=1}^m A_j(X_t) \d w_t^j + A_0(X_t) \d t$ on $\R^d$. The diffusion coefficients $A_1,..., A_m$ are supposed to be in the Sobolev space $W_\text{loc}^{1,p} (\R^d)$ with $p>d$, and to have linear growth; for the drift coefficient $A_0$, we consider two cases: (i) $A_0$ is continuous whose distributional divergence $δ(A_0)$ w.r.t. the Gaussian measure $γ_d$ exists, (ii) $A_0$ has the Sobolev regularity $W_\text{loc}^{1,p'}$ for some $p'>1$. Assume $\int_{\R^d} \exp\big[λ_0\bigl(|δ(A_0)| + \sum_{j=1}^m (|δ(A_j)|^2 +|\nabla A_j|^2)\bigr)\big] \dγ_d<+\infty$ for some $λ_0>0$, in the case (i), if the pathwise uniqueness of solutions holds, then the push-forward $(X_t)_# γ_d$ admits a density with respect to $γ_d$. In particular, if the coefficients are bounded Lipschitz continuous, then $X_t$ leaves the Lebesgue measure $\Leb_d$ quasi-invariant. In the case (ii), we develop a method used by G. Crippa and C. De Lellis for ODE and implemented by X. Zhang for SDE, to establish the existence and uniqueness of stochastic flow of maps.

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