Weak uniqueness and density estimates for SDEs with coefficients depending on some path-functionals (Q2179620)

In the present paper, the authors develop a methodology to prove weak uniqueness for stochastic differential equations with coefficients depending on some path-functionals of the process. As an extension of the technique developed by Bass and Perkins in the standard diffusion case, the proposed methodology allows one to deal with process whose probability laws is singular with respect to the Lebesgue measure. To illustrate their methodology, the authors prove weak existence and uniqueness in the two examples. The first one concerns a diffusion process with coefficients depending on its running local time. The second one concern a diffusion process with coefficients depending on its running maximum. In each example, the authors also prove the existence of the associated transition density and establish some Gaussian upper-estimates.