Regularity Estimates for Singular Density Dependent SDEs

Abstract

Consider the density dependent (i.e. Nemytskii-type) SDEs on $\mathbb R^d$, where the drift $b_t(x,\rho(x),\rho)$ is locally integrable in $(t,x)\in [0,\infty)\times \mathbb R^d$ and may be singular in the distribution density function $\rho$. The relative/Renyi entropies between two time-marginal distributions are estimated by using the Wasserstein distance of initial distributions. When $d=1$ and $b_t$ decays at $t=0$ with rate $t^{\frac 1 2+}$, our the relative entropy estimate coincides with the classical entropy-cost inequality for elliptic diffusion processes. To estimate the Renyi entropy, a refined Khasminskii estimate is presented for singular SDEs which may be interesting by itself.