Differentiability of SDEs with drifts of super-linear growth (Q1721995)

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Differentiability of SDEs with drifts of super-linear growth
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    Statements

    title
    Differentiability of SDEs with drifts of super-linear growth (English)
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    author
    Peter Imkeller
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    William Salkeld
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    Gonçalo dos Reis
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    publication date
    14 February 2019
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    zbMATH Keywords
    Malliavin calculus
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    parametric differentiability
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    monotone growth SDE
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    one-sided Lipschitz
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    Bismut-Elworthy-Li formula
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    Identifiers

    DOI
    10.1214/18-EJP261
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    Mathematics Subject Classification ID
    60H07
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    60H10
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    60H30
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    zbMATH DE Number
    7021644
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    arXiv ID
    1803.06947
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    OpenAlex ID
    W2963502748
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