کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5130143 | 1378661 | 2017 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Hölder continuous densities of solutions of SDEs with measurable and path dependent drift coefficients
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
We consider a process given as the solution of a one-dimensional stochastic differential equation with irregular, path dependent and time-inhomogeneous drift coefficient and additive noise. Hölder continuity of the density at any given time is achieved using a different approach than the classical ones in the literature. Namely, the Hölder regularity is obtained via a control problem by identifying the equation with the worst global Hölder constant. Then we generalise our findings to a larger class of diffusions. The novelty of this method is that it is not based on a variational calculus and it is suitable for non-Markovian processes.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 127, Issue 6, June 2017, Pages 1785-1799
Journal: Stochastic Processes and their Applications - Volume 127, Issue 6, June 2017, Pages 1785-1799
نویسندگان
David Baños, Paul Krühner,