Weak uniqueness and density estimates for sdes with coefficients depending on some path-functionals

Abstract : In this paper, we develop a general 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 & Perkins [BP09] in the standard diffusion case, the proposed methodology allows one to deal with processes whose probability laws are singular with respect to the Lebesgue measure. To illustrate our methodology, we prove weak existence and uniqueness in two examples : a diffusion process with coefficients depending on its running symmetric local time and a diffusion process with coefficients depending on its running maximum. In each example, we also prove the existence of the associated transition density and establish some Gaussian upper-estimates.
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Pré-publication, Document de travail
2017
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https://hal.archives-ouvertes.fr/hal-01552492
Contributeur : Noufel Frikha <>
Soumis le : lundi 3 juillet 2017 - 08:57:36
Dernière modification le : vendredi 7 juillet 2017 - 01:12:27

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  • HAL Id : hal-01552492, version 1
  • ARXIV : 1707.01295

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Noufel Frikha, Libo Li. Weak uniqueness and density estimates for sdes with coefficients depending on some path-functionals. 2017. 〈hal-01552492〉

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