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

strong solutionKrylov's estimatestochastic functional differential equationZvonkin's transformationsingular drift

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.

Cites work

• scientific article; zbMATH DE number 3651506 (Why is no real title available?)
• scientific article; zbMATH DE number 50233 (Why is no real title available?)
• scientific article; zbMATH DE number 1546853 (Why is no real title available?)
• A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT
• A stochastic Gronwall lemma
• Existence and uniqueness of solutions of stochastic functional differential equations
• Flow of diffeomorphisms for SDEs with unbounded Hölder continuous drift
• On Stochastic Differential Equations with Locally Unbounded Drift
• On the uniqueness of solutions of stochastic differential equations
• Pathwise uniqueness and continuous dependence for SDEs with non-regular drift
• Rademacher's theorem for Wiener functionals
• Stochastic differential equations with Sobolev drifts and driven by \(\alpha\)-stable processes
• Stochastic homeomorphism flows of SDEs with singular drifts and Sobolev diffusion coefficients
• Strong solutions of stochastic equations with singular time dependent drift

Cited in

(6)

• On the strong Feller property for stochastic delay differential equations with singular drift
• Path-distribution dependent SDEs with singular coefficients
• Stochastic functional Hamiltonian system with singular coefficients
• 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
• Sharp convex generalizations of stochastic Gronwall inequalities

This page was built for publication: Well-posedness and stability for a class of stochastic delay differential equations with singular drift

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4598552)