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math.PR2016★ 4 cited
On uniqueness of solutions to martingale problems --- counterexamples and sufficient criteria
Jan Kallsen, Paul Krühner
The dynamics of a Markov process are often specified by its infinitesimal generator or, equivalently, its symbol. This paper contains examples of analytic symbols which do not dete…
math.PR2014
Optimal bounds for the densities of solutions of SDEs with measurable and path dependent drift coefficients
David Baños, Paul Krühner
We consider a process given as the solution of a stochastic differential equation with irregular, path dependent and time-inhomogeneous drift coefficient and additive noise. Explic…