Existence and uniqueness results for stochastic differential equations (SDEs) under exceptionally weak conditions are well known in the case where the diffusion coefficient is nondegenerate. Here, existence and uniqueness of a strong solution is obtained in the case of degenerate SDEs in a class that is motivated by diffusion representations for solution of Schrödinger initial value problems. In such examples, the dimension of the range of the diffusion coefficient is exactly half that of the state. In addition to the degeneracy, two types of discontinuities and singularities in the drift are allowed, where these are motivated by the structure of the Coulomb potential and the resulting solutions to the dequantized Schrödinger equation. The first type consists of discontinuities that may occur on a possibly high-dimensional manifold (up to codimension one). The second consists of singularities that may occur on a lower-dimensional manifold (up to codimension two).
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Solution Existence and Uniqueness for Degenerate SDEs with Application to Schrödinger-Equation Representations
Existence and uniqueness results for solutions of stochastic differential equations (SDEs) under exceptionally weak conditions are well known in the case where the diffusion coeffcient is nondegenerate. Here, existence and uniqueness of strong solutions is obtained in the case of degenerate SDEs in a class that is motivated by diffusion representations for solutions of Schrödinger initial value problems. In such examples, the dimension of the range of the diffusion coeffcient is exactly half that of the state. In addition to this degeneracy, two types of discontinuities and singularities in the drift are allowed, where these are motivated by the structure of the Coulomb potential. The first type consists of discontinuities that may occur on a possibly high-dimensional manifold. The second consists of singularities that may occur on a smoothly parameterized curve.
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- Award ID(s):
- 1908918
- PAR ID:
- 10288233
- Date Published:
- Journal Name:
- Comms. communications in Information and Systems.
- Volume:
- 14
- Issue:
- 4
- Page Range / eLocation ID:
- 213 - 231
- Format(s):
- Medium: X
- Sponsoring Org:
- National Science Foundation
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