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

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Résumé

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.

langue originale	Anglais
Pages (de - à)	65-87
Nombre de pages	23
journal	Modern Stochastics: Theory and Applications
Volume	9
Numéro de publication	1
Les DOIs	https://doi.org/10.15559/21-VMSTA197
état	Publié - 1 mars 2022

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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.",

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

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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

UR - https://www.scopus.com/pages/publications/85126927266

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DO - 10.15559/21-VMSTA197

M3 - Article

AN - SCOPUS:85126927266

SN - 2351-6046

VL - 9

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EP - 87

JO - Modern Stochastics: Theory and Applications

JF - Modern Stochastics: Theory and Applications

IS - 1

ER -

On path-dependent SDEs involving distributional drifts

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