On the Strong Feller Property and Well-Posedness for SDEs with Functional, Locally Unbounded Drift

Abstract

We study functional stochastic differential equations with a locally unbounded, functional drift focusing on well-posedness, stability and the strong Feller property. Following the non-functional case, we only consider integrability conditions and avoid continuity assumptions as far as possible. Our approach is mainly based on Zvonkin's transformation [18], an extended version of the probabilistic approach of Maslowski and Seidler [12] and the convergence concept for random variables in topological spaces in [2].