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Existence and Besov regularity of the density for a class of SDEs with Volterra noise (1805.08530v2)
Published 22 May 2018 in math.PR
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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