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arXiv · 1309.0619

Weak Differentiability of Solutions to SDEs With Semi-Monotone Drifts

Mahdieh Tahmasebi·Shiva Zamani
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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 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.

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Mahdieh Tahmasebi, Shiva Zamani. 2013-09-03. Weak Differentiability of Solutions to SDEs With Semi-Monotone Drifts. https://arxiv.org/abs/1309.0619

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