Weak differentiability of solutions to SDEs with semi-monotone drifts
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Abstract:
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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Journal title
volume 41 issue 4
pages 873- 888
publication date 2015-08-01
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