Construction of Malliavin differentiable strong solutions of SDEs under an integrability condition on the drift without the Yamada-Watanabe principle

DOI10.1214/17-AIHP845zbMath1404.60077arXiv1503.09019OpenAlexW2963676559WikidataQ129536872 ScholiaQ129536872MaRDI QIDQ1621711

David R. Baños, Thilo Meyer-Brandis, Sindre Duedahl, Frank Norbert Proske

Publication date: 9 November 2018

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.09019

zbMATH Keywords

Malliavin calculusKolmogorov equationBismut-Elworthy-Li formulasingular drift coefficientstrong solutions of SDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) White noise theory (60H40) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items

Strong solutions of stochastic differential equations with generalized drift and multidimensional fractional Brownian initial noise

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