Work

Distribution-Dependent Stochastic Functional Differential Equations

Year: 2016

Type: preprint

Abstract: By the approximation method introduced in \cite{FYW}, the existence and uniqueness are proved for a class of distribution-dependent stochastic functional differential equations (DDSFDEs). Moreover, combining the Harnack and shift-Harnack inequalities for classical stochastic functional differential equations with Girsanov's theorem, Harnack and shift-Harnack inequalities are obtained for the non-linear semigroup $P_t^*$ associated to the functional solution.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.1612.08542

Author: Huang, Xing

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2563488312

Cites: 13

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Related to: 10