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arXiv · 1803.06947

Differentiability of SDEs with drifts of super-linear growth

Peter Imkeller·Gonçalo dos Reis·William Salkeld
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Abstract

We close an unexpected gap in the literature of stochastic differential equations (SDEs) with drifts of super linear growth (and random coefficients), namely, we prove Malliavin and Parametric Differentiability of such SDEs. The former is shown by proving Ray Absolute Continuity and Stochastic Gâteaux Differentiability. This method enables one to take limits in probability rather than mean square which bypasses the potentially non-integrable error terms from the unbounded drift. This issue is strongly linked with the difficulties of the standard methodology from Nualart's 2006 work, Lemma 1.2.3 for this setting. Several examples illustrating the range and scope of our results are presented. We close with parametric differentiability and recover representations linking both derivatives as well as a Bismut-Elworthy-Li formula.

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Peter Imkeller, Gonçalo dos Reis, William Salkeld. 2018-08-31. Differentiability of SDEs with drifts of super-linear growth. https://doi.org/10.1214/18-ejp261

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