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

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

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

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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.",

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

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AU - Russo, Francesco

AU - Teixeira, Alan

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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

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DO - 10.15559/21-VMSTA197

M3 - Article

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VL - 9

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EP - 87

JO - Modern Stochastics: Theory and Applications

JF - Modern Stochastics: Theory and Applications

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On path-dependent SDEs involving distributional drifts

Abstract

Keywords

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