On some path-dependent SDEs involving distributional drifts
january, 2022
Publication type:
Paper in peer-reviewed journals
Journal:
Modern Stochastics: Theory and Applications, vol. 9 (1), pp. 65-87
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Keywords :
Bessel processes; SDEs with distributional drift; Path-dependent stochastic differential equations.
Abstract:
In this paper, we study (strong and in law)
existence and uniqueness of a class of
non-Markovian SDEs whose drift contains the derivative
in the sense of distributions
of a continuous function.
BibTeX:
@article{Oha-Rus-Tei-2022, author={Alberto Ohashi and Francesco Russo and Alan Teixeira }, title={On some path-dependent SDEs involving distributional drifts }, doi={10.15559/21-VMSTA197 }, journal={Modern Stochastics: Theory and Applications }, year={2022 }, month={1}, volume={9 (1) }, pages={65--87}, }