On some path-dependent SDEs involving distributional drifts
Probability
2021-05-24 v2
Abstract
In this paper, we study (strong and weak) existence and uniqueness of a class of non-Markovian SDEs whose drift contains the derivative in the sense of distributionsof a continuous function.
Keywords
Cite
@article{arxiv.2002.02384,
title = {On some path-dependent SDEs involving distributional drifts},
author = {Alberto Ohashi and Francesco Russo and Alan Teixeira},
journal= {arXiv preprint arXiv:2002.02384},
year = {2021}
}