THE NOVIKOV AND ENTROPY CONDITIONS OF MULTIDIMENSIONAL DIFFUSION-PROCESSES WITH SINGULAR DRIFT

• 成果类型: Article
• 署名作者: STUMMER, W
• 署名单位: University of Zurich; University Zurich Hospital
• 刊物名称: PROBABILITY THEORY AND RELATED FIELDS
• ISSN/ISSBN: 0178-8051
• DOI: 10.1007/BF01192962
• 发表日期: 1993
• 页码: 515-542

摘要

We consider multidimensional stochastic differential equations of the form [GRAPHICS] with arbitrary initial (probability) distribution mu on R(d), d greater than or equal to 1. The first aim of this paper is to give handy-to-verify analytic (i.e. non-stochastic) conditions for the existence of a weak solution of (1), where the drift b will be allowed to have singularities. These investigations are illustrated by various examples. We first concentrate on (a uniform form of) the Novikov condition [GRAPHICS] and then investigate further sufficient conditions for the applicability of the Girsanov-Maruyama Theorem which are not covered by (2). The outcoming results improve some of those of Engelbert and Schmidt [8] (for time-independent drifts b(x))) and Portenko [28] (for time-dependent drifts b(t,x)). One of the examples involves a drift which is singular on a dense set in R(d) but nevertheless satisfies (2). The second aim of this paper is to discuss some general properties and applications of (2). For instance, we investigate whether the factor 1/2 in the Novikov condition (2) ''can be replaced'' by 1/2 +/- epsilon (epsilon > 0). Furthermore, we give several equivalence characterizations of(2) (being connected to the well-known Khas'minskii-Lemma [17]). Finally, it is shown that under the Novikov condition (2), the diffusion process with drift b has finite relative entropy with respect to Wiener measure (and thus finite ''energy'').