Probability density function of SDEs with unbounded and path-dependent drift coefficient

Density estimation (62G07) Heat kernel (35K08) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (4)

Probability density function of SDEs with unbounded and path--dependent drift coefficient
Kyle-back models with risk aversion and non-Gaussian beliefs
A general framework to simulate diffusions with discontinuous coefficients and local times
Hölder continuous densities of solutions of SDEs with measurable and path dependent drift coefficients

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