Existence and Besov regularity of the density for a class of SDEs with Volterra noise

Author(s)

Olivera, Christian ^[1] ; Tudor, Ciprian A. ^{[2, 3]}

Affiliation

^[1] Univ Estadual Campinas, Dept Matemat, BR-081970 Campinas, SP - Brazil

^[2] Romanian Acad, ISMMA, Bucharest - Romania

^[3] Univ Lille 1, CNRS, UMR 8524, Lab Paul Painleve, F-59655 Villeneuve Dascq - France

• Document type: Journal article
• Source: COMPTES RENDUS MATHEMATIQUE; v. 357, n. 7, p. 636-645, JUL 2019.
• Web of Science Citations: 0

Abstract

By using a simple method based on the fractional integration by parts, we prove the existence and the Besov regularity of the density for solutions to stochastic differential equations driven by an additive Gaussian Volterra process. We assume weak regularity conditions on the drift. Several examples of Gaussian Volterra noises are discussed. (C) 2019 Academie des sciences. Published by Elsevier Masson SAS. All rights reserved. (AU)

• FAPESP's process: 15/07278-0 - Stochastic dynamics: analytical and geometrical aspects with applications
• Grantee: Paulo Regis Caron Ruffino
• Support Opportunities: Research Projects - Thematic Grants
• FAPESP's process: 17/17670-0 - Stochastic Partial Differential Equations and Particle Systems
• Grantee: Christian Horacio Olivera
• Support Opportunities: Regular Research Grants