Forde, Martin - In: Stochastic Processes and their Applications 121 (2011) 12, pp. 2802-2817
We construct a weak solution to the stochastic functional differential equation Xt=x0+∫0tσ(Xs,Ms)dWs, where Mt=sup0≤s≤tXs. Using the excursion theory, we then solve explicitly the following problem: for a natural class of joint density functions μ(y,b), we specify σ(.,.), so that X is a...
