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SDEs with critical time dependent drifts: weak solutions

Published 8 Dec 2020 in math.PR and math.AP | (2012.04161v3)

Abstract: We prove the unique weak solvability of time-inhomogeneous stochastic differential equations with additive noises and drifts in critical Lebsgue space $Lq([0,T]; L{p}(\mathbb{R}d))$ with $d/p+2/q=1$. The weak uniqueness is obtained by solving corresponding Kolmogorov's backward equations in some second order Sobolev spaces, which is analytically interesting in itself.

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