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