On some path-dependent SDEs involving distributional drifts
january, 2022
Type de publication :
Article (revues avec comité de lecture)
Journal :
Modern Stochastics: Theory and Applications, vol. 9 (1), pp. 65-87
DOI :
HAL :
arXiv :
Mots clés :
Bessel processes; SDEs with distributional drift; Path-dependent stochastic differential equations.
Résumé :
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},
}