Search results for "Density estimate"
showing 2 items of 2 documents
Uniform measure density condition and game regularity for tug-of-war games
2018
We show that a uniform measure density condition implies game regularity for all 2 < p < ∞ in a stochastic game called “tug-of-war with noise”. The proof utilizes suitable choices of strategies combined with estimates for the associated stopping times and density estimates for the sum of independent and identically distributed random vectors. peerReviewed
Stochastic differential equations with coefficients in Sobolev spaces
2010
We consider It\^o SDE $\d X_t=\sum_{j=1}^m A_j(X_t) \d w_t^j + A_0(X_t) \d t$ on $\R^d$. The diffusion coefficients $A_1,..., A_m$ are supposed to be in the Sobolev space $W_\text{loc}^{1,p} (\R^d)$ with $p>d$, and to have linear growth; for the drift coefficient $A_0$, we consider two cases: (i) $A_0$ is continuous whose distributional divergence $\delta(A_0)$ w.r.t. the Gaussian measure $\gamma_d$ exists, (ii) $A_0$ has the Sobolev regularity $W_\text{loc}^{1,p'}$ for some $p'>1$. Assume $\int_{\R^d} \exp\big[\lambda_0\bigl(|\delta(A_0)| + \sum_{j=1}^m (|\delta(A_j)|^2 +|\nabla A_j|^2)\bigr)\big] \d\gamma_d0$, in the case (i), if the pathwise uniqueness of solutions holds, then the push-f…