Regularity Estimates for Singular Density Dependent SDEs

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Authors: Feng-Yu Wang, Qiumiao Wen, Fen-Fen Yang
Cited by: 0

Abstract

Consider the density dependent (i.e. Nemytskii-type) SDEs on $\mathbb R^d$, where the drift $b_t(x,ρ(x),ρ)$ is locally integrable in $(t,x)\in [0,\infty)\times \mathbb R^d$ and may be singular in the distribution density function $ρ$. 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.

Fields of Study & Subjects

Stochastic processes and financial applications Geometric Analysis and Curvature Flows Stochastic processes and statistical mechanics

Publication details

Journal / source
arXiv (Cornell University)
Publication date
5 February 2026
Document type
Preprint