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Weak differentiability of solutions to SDEs with semi-monotone drifts

Tahmasebi, M ; Sharif University of Technology | 2015

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  1. Type of Document: Article
  2. Publisher: Iranian Mathematical Society , 2015
  3. Abstract:
  4. In this work we prove Malliavin differentiability for the solution to an SDE with locally Lipschitz and semi-monotone drift. To prove this formula, we construct a sequence of SDEs with globally Lipschitz drifts and show that the p-moments of their Malliavin derivatives are uniformly bounded
  5. Keywords:
  6. Malliavin calculus ; Semi-monotone drift ; Smoothness of density ; Stochastic differential equation
  7. Source: Bulletin of the Iranian Mathematical Society ; Volume 41, Issue 4 , Sep , 2015 , Pages 873-888 ; 10186301 (ISSN)
  8. URL: http://bims.iranjournals.ir/article_658.html