Well-posedness and stability for a class of stochastic delay differential equations with singular drift

DOI10.1142/S0219493718500193MaRDI QIDQ4598552zbMATH OpenOpenAlexFDO

Authors Stefan Bachmann

Publication date 21 December 2017

Published in Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1608.07534

zbMATH Keywords

Krylov's estimatesingular driftstochastic functional differential equationstrong solutionZvonkin's transformation

Mathematics Subject Classification ID

Stability theory of functional-differential equations (34K20) Stochastic functional-differential equations (34K50)

Abstract: In this paper we prove well-posedness and stabibility of a class of stochastic delay differential equations with singular drift. Moreover, we show local well-posedness under localized assumptions.

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Cited in

(8)

• Path-distribution dependent SDEs with singular coefficients
• On the strong Feller property for stochastic delay differential equations with singular drift
• Stochastic functional Hamiltonian system with singular coefficients
• Sharp convex generalizations of stochastic Gronwall inequalities
• One-dimensional SDEs with LPS-type singular drift coefficients and Hölder continuous diffusion coefficients
• Well-posedness for path-distribution dependent stochastic differential equations with singular drifts
• Path-distribution dependent SDEs: well-posedness and asymptotic log-Harnack inequality
• Weak convergence of path-dependent SDEs with irregular coefficients

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