Probability density function of SDEs with unbounded and path--dependent drift coefficient

Dai Taguchi, Akihiro Tanaka

Published 2018-11-17, updated 2019-10-08Version 2

In this paper, we first prove that the existence of a solution of SDEs under the assumptions that the drift coefficient is of linear growth and path--dependent, and diffusion coefficient is bounded, uniformly elliptic and H\"older continuous. We apply Gaussian upper bound for a probability density function of a solution of SDE without drift coefficient and local Novikov condition, in order to use Maruyama--Girsanov transformation. The aim of this paper is to prove the existence with explicit representations (under linear/super--linear growth condition), Gaussian two--sided bound and H\"older continuity (under sub--linear growth condition) of a probability density function of a solution of SDEs with path--dependent drift coefficient. As an application of explicit representation, we provide the rate of convergence for an Euler--Maruyama (type) approximation, and an unbiased simulation scheme.