On the Construction and Malliavin Differentiability of Levy Noise Driven SDEs with Singular Coefficients
Probability
2013-05-10 v1 Functional Analysis
Abstract
In this paper we introduce a new technique to construct unique strong solutions of SDEs with singular coefficients driven by certain Levy processes. Our method which is based on Malliavin calculus does not rely on a pathwise uniqueness argument. Furthermore, the approach, which provides a direct construction principle, grants the additional insight that the obtained solutions are Malliavin differentiable.
Keywords
Cite
@article{arxiv.1305.2043,
title = {On the Construction and Malliavin Differentiability of Levy Noise Driven SDEs with Singular Coefficients},
author = {Sven Haadem and Frank Proske},
journal= {arXiv preprint arXiv:1305.2043},
year = {2013}
}