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

Christian Olivera; Ciprian Tudor

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arXiv · 1805.08530

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

Christian Olivera·Ciprian Tudor

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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.

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Christian Olivera, Ciprian Tudor. 2018-07-30. Existence and Besov regularity of the density for a class of SDEs with Volterra noise. https://arxiv.org/abs/1805.08530

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