Paul Krühner: Optimal bounds for SDE's with measurable drift coefficient
Paul Krühner (UiO) holder et seminar med tittelen: Optimal bounds for SDE's with measurable drift coefficient
In this talk we study the regularity of solutions of SDE's dX(t) = b(t,X(t))dt + a(t,X(t))dW(t) on the real line where b is only assumed to be measurable. If a is positive, then pathwise uniqueness is provided by the Yamada-Watanabe theory and existence of densities at any time t>0 is ensured by a simple application of Girsanovs theorem. We provide optimal local upper and lower bounds for these densities. This talk is based on joint work with David Baños.