Title of article
Weak differentiability of solutions to SDEs with semi-monotone drifts
Author/Authors
Tahmasebi، M. نويسنده Tarbiat Modares University , , Zamani، S. نويسنده Sharif University of Technology ,
Issue Information
دوماهنامه با شماره پیاپی 0 سال 2015
Pages
16
From page
873
To page
888
Abstract
n 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.
Journal title
Bulletin of the Iranian Mathematical Society
Serial Year
2015
Journal title
Bulletin of the Iranian Mathematical Society
Record number
2384655
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