Differentiability of SDEs with drifts of super-linear growth

DOI10.1214/18-EJP261MaRDI QIDQ1721995zbMATH OpenOpenAlexFDO

Authors P. Imkeller, William Salkeld, Gonçalo dos Reis

Publication date 14 February 2019

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1803.06947, https://projecteuclid.org/euclid.ejp/1549616424

zbMATH Keywords

Malliavin calculusBismut-Elworthy-Li formulamonotone growth SDEone-sided Lipschitzparametric differentiability

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: We close an unexpected gap in the literature of stochastic differential equations (SDEs) with drifts of super linear growth (and random coefficients), namely, we prove Malliavin and Parametric Differentiability of such SDEs. The former is shown by proving Ray Absolute Continuity and Stochastic G^ateaux Differentiability. This method enables one to take limits in probability rather than mean square which bypasses the potentially non-integrable error terms from the unbounded drift. This issue is strongly linked with the difficulties of the standard methodology from Nualart's 2006 work, Lemma 1.2.3 for this setting. Several examples illustrating the range and scope of our results are presented. We close with parametric differentiability and recover representations linking both derivatives as well as a Bismut-Elworthy-Li formula.

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Cited in

(4)

• Large deviations and exit-times for reflected McKean-Vlasov equations with self-stabilising terms and superlinear drifts
• Density convergence of a fully discrete finite difference method for stochastic Cahn-Hilliard equation
• Sobolev differentiable flows of SDEs with local Sobolev and super-linear growth coefficients
• Quantitative fluctuation analysis of multiscale diffusion systems via Malliavin calculus

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