weak differentiability of solutions to sdes with semi-monotone drifts
نویسندگان
چکیده
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:
bulletin of the iranian mathematical societyناشر: iranian mathematical society (ims)
ISSN 1017-060X
دوره 41
شماره 4 2015
میزبانی شده توسط پلتفرم ابری doprax.com
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