1
Department of Applied Mathematics, Faculty of Mathematical Sciences, Tarbiat Modares University, P.O. Box 14115-134, Tehran, Iran
2
Graduate School of Management and Economics, Sharif University of Technology, P.O. Box 11155-9415, Tehran, Iran
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.
Tahmasebi, M., & Zamani, S. (2015). Weak differentiability of solutions to SDEs with semi-monotone drifts. Bulletin of the Iranian Mathematical Society, 41(4), 873-888.
MLA
Tahmasebi, M., & Zamani, S. "Weak differentiability of solutions to SDEs with semi-monotone drifts", Bulletin of the Iranian Mathematical Society, 41, 4, 2015, 873-888.
HARVARD
Tahmasebi M., Zamani S. (2015). 'Weak differentiability of solutions to SDEs with semi-monotone drifts', Bulletin of the Iranian Mathematical Society, 41(4), pp. 873-888.
CHICAGO
M. Tahmasebi & S. Zamani, "Weak differentiability of solutions to SDEs with semi-monotone drifts," Bulletin of the Iranian Mathematical Society, 41 4 (2015): 873-888,
VANCOUVER
Tahmasebi M., Zamani S. Weak differentiability of solutions to SDEs with semi-monotone drifts. BIMS. 2015;41(4):873-888.
