M. Tahmasebi

Department of Applied Mathematics‎, ‎Faculty of Mathematical Sciences‎, ‎Tarbiat Modares University‎, ‎P.O‎. ‎Box 14115-134‎, ‎Tehran‎, ‎Iran

[ 1 ] - 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.

نویسندگان همکار

S. Zamani 1