Differentiability of SDEs with drifts of super-linear growth
DOI10.1214/18-EJP261zbMath1406.60084arXiv1803.06947OpenAlexW2963502748MaRDI QIDQ1721995
William Salkeld, Peter Imkeller, 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
Malliavin calculusBismut-Elworthy-Li formulamonotone growth SDEone-sided Lipschitzparametric differentiability
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic calculus of variations and the Malliavin calculus (60H07)
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Cites Work
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