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math.PR2016
Hölder continuous 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 one-dimensional stochastic differential equation with irregular, path dependent and time-inhomogeneous drift coefficient and additi…
math.PR2016★ 13 cited
Stochastic systems with memory and jumps
D. R. Baños, F. Cordoni, G. Di Nunno +2
Stochastic systems with memory naturally appear in life science, economy, and finance. We take the modelling point of view of stochastic functional delay equations and we study the…