Weak Differentiability of Solutions to SDEs With Semi-Monotone Drifts
Probability
2013-09-04 v1
Abstract
In this work we prove Malliavin differentiability for the solution to an SDE with locally Lipschitz and semi-monotone drift. To this end we construct a sequence of SDEs with globally Lipschitz drifts. We show that the solutions of these SDEs converge to the solution of the original SDE and the p-moments of their Malliavin derivatives are uniformly bounded.
Keywords
Cite
@article{arxiv.1309.0619,
title = {Weak Differentiability of Solutions to SDEs With Semi-Monotone Drifts},
author = {Mahdieh Tahmasebi and Shiva Zamani},
journal= {arXiv preprint arXiv:1309.0619},
year = {2013}
}
Comments
19 pages