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Construct a differentiable function whose gradient has a prescribed modulus of continuity

We define the following modulus $\psi : \bR_+ \to \bR_+$ of continuity $$ \psi (x) := \begin{cases} 0 &\text{if} \quad x =0 , \\ x | \ln x|^2 &\text{if} \quad x \in (0, \alpha], \\ x - 2 \alpha \ln (\alpha …
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Solution of SDE at finite time, continuity of pdf

In Theorem 1.2 of the paper Density and gradient estimates for non degenerate Brownian SDEs with unbounded measurable drift, the authors prove that the transition density of the SDE $$ \mathrm{d} X_t= …
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