Related papers: Malliavin Calculus for rough stochastic differenti…
In this paper, we consider a class of reflected stochastic differential equations for which the constraint is not on the paths of the solution but on its law. We establish a small noise large deviation principle, a large deviation for short…
By using Bismut's approach about the Malliavin calculus with jumps, we study the regularity of the distributional density for SDEs driven by degenerate additive L\'evy noises. Under full H\"ormander's conditions, we prove the existence of…
We study sufficient conditions for a local asymptotic mixed normality property of statistical models. We develop a scheme with the $L^2$ regularity condition proposed by Jeganathan [\textit{Sankhya Ser. A} \textbf{44} (1982) 173--212] so…
We prove a center manifold theorem for rough partial differential equations (rough PDEs). The class of rough PDEs we consider contains as a key subclass reaction-diffusion equations driven by nonlinear multiplicative noise, where the…
We provide sufficient conditions for the existence and uniqueness of solutions to a stochastic differential equation which arises in a price impact model. These conditions are stated as smoothness and boundedness requirements on utility…
The Malliavin derivative for a L\'evy process $(X_t)$ can be defined on the space $\DD_{1,2}$ using a chaos expansion or in the case of a pure jump process also via an increment quotient operator \cite{sole-utzet-vives}. In this paper we…
Malliavin calculus provides a characterization of the centered model in regularity structures that is stable under removing the small-scale cut-off. In conjunction with a spectral gap inequality, it yields the stochastic estimates of the…
Rough stochastic differential equations (rough SDEs), recently introduced by Friz, Hocquet and L\^e in arXiv:2106.10340, have emerged as a versatile tool to study "doubly" SDEs under partial conditioning (with motivation from pathwise…
In this paper, we study well-posedness of McKean-Vlasov stochastic differential equations (SDE) whose drift depends pointwisely on marginal density and satisfies a local integrability condition in time-space variables. The drift and noise…
By means of the Malliavin calculus, integral representations for the likelihood function and for the derivative of the log-likelihood function are given for a model based on discrete time observations of the solution to equation…
In this paper we are interested in a quasi-linear hyperbolic stochastic differential equation (HSPDE) when the vector field is merely bounded and measurable. Although the deterministic counterpart of such equation may be ill-posed (in the…
In this paper, we describe an explicit extension formula in sensitivity analysis regarding the Malliavin weight for jump-diffusion mean-field stochastic differential equations whose local Lipschitz drift coefficients are influenced by the…
We consider a solution to a generic Markovian jump diffusion and show that for positive times the law of the solution process has a smooth density with respect to Lebesgue measure under a uniform version of Hoermander's conditions. Unlike…
In this paper, based on a known formula, we use a simple idea to get a new representation for the density of Malliavin differentiable random variables. This new representation is particularly useful for finding lower bounds for the density.
In this paper we present a new method for the construction of strong solutions of SDE's with merely integrable drift coefficients driven by a multidimensional fractional Brownian motion with Hurst parameter H < 1/2. Furthermore, we prove…
In this paper, we prove that the inverse of Malliavin matrix is p integrable for a kind of degenerate stochastic differential equation under some conditions, which like to Hormander condition, but don't need all the coefficients of the SDE…
In this paper we investigate the regularity properties of strong solutions to SDEs driven by L\'evy processes with irregular drift coefficients. Under some mild conditions, we show that the singular SDE has a unique strong solution for each…
We consider an infinite-dimensional dynamical system with polynomial nonlinearity and additive noise given by a finite number of Wiener processes. By studying how randomness is spread by the system we develop a counterpart of Hormander's…
In this paper we study properties of solutions to stochastic differential equations with Sobolev diffusion coefficients and singular drifts. The properties we study include stability with respect to the coefficients, weak differentiability…
Due to recent developments of Malliavin calculus for rough differential equations, it is now known that, under natural assumptions, the law of a unique solution at a fixed time has a smooth density function. Therefore, it is quite natural…