Strong solutions to degenerate SDEs and uniqueness for degenerate Fokker-Planck equations

Abstract

We prove the existence of probabilistically strong solutions for large classes of possibly degenerate stochastic differential equations with locally Sobolev-regular coefficients, using the restricted Yamada-Watanabe theorem. Our approach relies on existence results for the corresponding Fokker-Planck equation, combined with both novel and existing restricted pathwise uniqueness results for SDEs. Here, restricted pathwise uniqueness means pathwise uniqueness among a subclass of weak solutions to the SDE. Furthermore, we derive new uniqueness results for the Fokker-Planck equation.

22 pages