Weak differentiability of solutions to SDEs with semi-monotone drifts

zbMath1373.60098arXiv1309.0619MaRDI QIDQ2411940

Yanyan Li

Publication date: 25 October 2017

Published in: Bulletin of the Iranian Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.0619

zbMATH Keywords

stochastic differential equationMalliavin calculussmoothness of densitysemi-monotone drift

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07)

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On the stochastic flow generated by the one default model in one-dimensional case ⋮ Differentiability of SDEs with drifts of super-linear growth ⋮ Ergodic BSDEs and related PDEs with Neumann boundary conditions under weak dissipative assumptions

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