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Regularization effects of a noise propagating through a chain of differential equations: An almost sharp result

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We investigate the effects of the propagation of a non-degenerate Brownian noise through a chain of deterministic differential equations whose coefficients are rough and satisfy a weak like H{\"o}rmander structure… Click to show full abstract

We investigate the effects of the propagation of a non-degenerate Brownian noise through a chain of deterministic differential equations whose coefficients are rough and satisfy a weak like H{\"o}rmander structure (i.e. a non-degeneracy condition w.r.t. the components which transmit the noise). In particular we characterize, through suitable counterexamples , almost sharp regularity exponents that ensure that weak well posedness holds for the associated SDE. As a by-product of our approach, we also derive some density estimates of Krylov type for the weak solutions of the considered SDEs.

Keywords: chain; regularization effects; noise propagating; effects noise; differential equations; almost sharp

Journal Title: Transactions of the American Mathematical Society
Year Published: 2019

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