Document Type: Research Paper
Department of Applied Mathematics, Faculty of Mathematical Sciences, Tarbiat Modares University, P.O. Box 14115-134, Tehran, Iran
Graduate School of Management and Economics, Sharif University of Technology, P.O. Box 11155-9415, Tehran, Iran
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.