Weak differentiability of solutions to SDEs with semi-monotone drifts
نویسندگان
چکیده مقاله:
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.
منابع مشابه
weak differentiability of solutions to sdes with semi-monotone drifts
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.
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عنوان ژورنال
دوره 41 شماره 4
صفحات 873- 888
تاریخ انتشار 2015-08-01
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