Gradient estimates for SDEs without monotonicity type conditions (1803.03846v1)

Abstract: We prove gradient estimates for transition Markov semigroups $(P_t)$ associated to SDEs driven by multiplicative Brownian noise having possibly unbounded $C^1$-coefficients, without requiring any monotonicity type condition. In particular, first derivatives of coefficients can grow polynomially and even exponentially. We establish pointwise estimates with weights for $D_x P_t\varphi$ of the form [ {\sqrt{t}} \, |D_x P_t \varphi (x) | \le c \, (1+ |x|^k) \, | \varphi|_{\infty} ] $t \in (0,1]$, $\varphi \in C_b ({\mathbb R}^d)$, $x \in {\mathbb R}^d.$ To prove the result we use two main tools. First, we consider a Feynman--Kac semigroup with potential $V$ related to the growth of the coefficients and of their derivatives for which we can use a Bismut-Elworthy-Li type formula. Second, we introduce a new regular approximation for the coefficients of the SDE. At the end of the paper we provide an example of SDE with additive noise and drift $b$ having sublinear growth together with its derivative such that uniform estimates for $D_x P_t \varphi$ without weights do not hold.