On the construction and Malliavin differentiability of solutions of Lévy noise driven SDE's with singular coefficients
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Publication:2253286
Abstract: In this paper we introduce a new technique to construct unique strong solutions of SDEs with singular coefficients driven by certain Levy processes. Our method which is based on Malliavin calculus does not rely on a pathwise uniqueness argument. Furthermore, the approach, which provides a direct construction principle, grants the additional insight that the obtained solutions are Malliavin differentiable.
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Cited in
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