Hölder continuous densities of solutions of SDEs with measurable and path dependent drift coefficients

DOI10.1016/j.spa.2016.09.015zbMath1367.60064arXiv1604.08181OpenAlexW2344412875MaRDI QIDQ2359703

Paul Krühner, David R. Baños

Publication date: 22 June 2017

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.08181

zbMATH Keywords

regularitystochastic controlstochastic differential equationsdensitiesirregular drift

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Regularity of solutions in optimal control (49N60)

Related Items (5)

Probability density function of SDEs with unbounded and path-dependent drift coefficient ⋮ Stochastic formulations of the parametrix method ⋮ A simple method for the existence of a density for stochastic evolutions with rough coefficients ⋮ Density for solutions to stochastic differential equations with unbounded drift ⋮ Some properties of density functions on maxima of solutions to one-dimensional stochastic differential equations

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