Energy solutions to SDEs with supercritical distributional drift: An extension and weak convergence rates
Abstract
In this work we consider the SDE equation d Xt = b (t, Xt) d t + 2 d Bt, mainSDE equation in dimension d ≥slant 2, where B is a Brownian motion and b : R+ → S' (Rd , Rd) is distributional, scaling super-critical and satisfies ∇ · b 0. We partially extend the super-critical weak well-posedness result for energy solutions from [GP24] by allowing a mixture of the regularity regimes treated therein: Outside of neighbourhoods of a small (and compared to [GP24] ''time-dependent'') local singularity set K ⊂ R+ × Rd, b is assumed to be in a certain supercritical LqT Hs, p-type class that allows a direct link between the PDE and the energy solution from a-priori estimates up to the stopping time of visiting K. To establish this correspondence, and thus uniqueness, globally in time we then show that K is actually never visited which requires us to impose a relation between the dimension of K and the H\"older regularity of X. In the second part of this work we derive weak convergence rates for approximations of the above equation in the case of time-independent drift, in particular with local singularities as above.
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