On path-dependent SDEs involving distributional drifts

Alberto Ohashi; Francesco Russo; Alan Teixeira

doi:10.15559/21-VMSTA197

On path-dependent SDEs involving distributional drifts

Alberto Ohashi
, Francesco Russo
, Alan Teixeira

Departamento de Matemática
Universidade de Brasília
Unité de Mathématiques Appliquées

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

Abstract

The paper presents the study on the existence and uniqueness (strong and in law) of a class of non-Markovian SDEs whose drift contains the derivative in the sense of distributions of a continuous function.

Original language	English
Pages (from-to)	65-87
Number of pages	23
Journal	Modern Stochastics: Theory and Applications
Volume	9
Issue number	1
DOIs	https://doi.org/10.15559/21-VMSTA197
Publication status	Published - 1 Mar 2022

Keywords

Path-dependent stochastic differential equations
SDEs with distributional drift

Access to Document

10.15559/21-VMSTA197

Cite this

@article{f38c87d6b49e42b887fd97591497004e,

title = "On path-dependent SDEs involving distributional drifts",

abstract = "The paper presents the study on the existence and uniqueness (strong and in law) of a class of non-Markovian SDEs whose drift contains the derivative in the sense of distributions of a continuous function.",

keywords = "Path-dependent stochastic differential equations, SDEs with distributional drift",

author = "Alberto Ohashi and Francesco Russo and Alan Teixeira",

note = "Publisher Copyright: {\textcopyright} 2022 The Author(s).",

year = "2022",

month = mar,

day = "1",

doi = "10.15559/21-VMSTA197",

language = "English",

volume = "9",

pages = "65--87",

journal = "Modern Stochastics: Theory and Applications",

issn = "2351-6046",

publisher = "VTeX",

number = "1",

}

TY - JOUR

T1 - On path-dependent SDEs involving distributional drifts

AU - Ohashi, Alberto

AU - Russo, Francesco

AU - Teixeira, Alan

PY - 2022/3/1

Y1 - 2022/3/1

N2 - The paper presents the study on the existence and uniqueness (strong and in law) of a class of non-Markovian SDEs whose drift contains the derivative in the sense of distributions of a continuous function.

AB - The paper presents the study on the existence and uniqueness (strong and in law) of a class of non-Markovian SDEs whose drift contains the derivative in the sense of distributions of a continuous function.

KW - Path-dependent stochastic differential equations

KW - SDEs with distributional drift

U2 - 10.15559/21-VMSTA197

DO - 10.15559/21-VMSTA197

M3 - Article

AN - SCOPUS:85126927266

SN - 2351-6046

VL - 9

SP - 65

EP - 87

JO - Modern Stochastics: Theory and Applications

JF - Modern Stochastics: Theory and Applications

IS - 1

ER -

On path-dependent SDEs involving distributional drifts

Abstract

Keywords

Access to Document

Fingerprint

Cite this