Smooth density for the solution of scalar SDEs with locally Lipschitz coefficients under Hörmander condition

DOI10.1016/J.SPL.2013.11.004MaRDI QIDQ2446702zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 17 April 2014

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1309.0623

zbMATH Keywords

Hörmander conditionMalliavin calculussemi-monotone driftsmoothness of densitystochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: In this paper the existence of a smooth density is proved for the solution of an SDE, with locally Lipschitz coefficients and semi-monotone drift, under H"ormander condition. We prove the nondegeneracy condition for the solution of the SDE, from it an integration by parts formula would result in the Wiener space. To this end we construct a sequence of SDEs with globally Lipschitz coefficients whose solutions converge to the original one and use some Lyapunov functions to show the uniformly boundedness of the p-moments of the solutions and their Malliavin derivatives.

Recommendations

• Smoothness of densities for path-dependent SDEs under Hörmander's condition
• Smoothness and asymptotic estimates of densities for SDEs with locally smooth coefficients and applications to square root-type diffusions
• Smooth densities for solutions to stochastic differential equations with jumps
• SDE solutions in the space of smooth random variables
• Existence and smoothness of the density for the stochastic continuity equation
• Existence and smoothness of the density for spatially homogeneous SPDEs
• Conditions of smoothness for the distribution density of a solution of a multidimensional linear stochastic differential equation with Lévy noise
• Smoothness of the density for solutions to Gaussian rough differential equations
• scientific article; zbMATH DE number 2169688

Cites work

• Absolute continuity for some one-dimensional processes
• Computation of Greeks using Malliavin's calculus in jump type market models
• Existence and smoothness of transition density for jump-type Markov processes: Applications of Malliavin calculus
• Existence of densities of solutions of stochastic differential equations by Malliavin calculus
• Flows of homeomorphisms of stochastic differential equations with measurable drift
• scientific article; zbMATH DE number 3870339 (Why is no real title available?)
• scientific article; zbMATH DE number 5010396 (Why is no real title available?)
• scientific article; zbMATH DE number 3907496 (Why is no real title available?)
• scientific article; zbMATH DE number 3664138 (Why is no real title available?)
• scientific article; zbMATH DE number 46016 (Why is no real title available?)
• scientific article; zbMATH DE number 1099342 (Why is no real title available?)
• scientific article; zbMATH DE number 2220054 (Why is no real title available?)
• Malliavin differentiability of the Heston volatility and applications to option pricing
• On the Burkholder-Davis-Gundy inequalities for continuous martingales
• Rate of convergence of implicit approximations for stochastic evolution equations
• Semilinear stochastic evolution equations with monotone nonlinearities
• Smoothness and asymptotic estimates of densities for SDEs with locally smooth coefficients and applications to square root-type diffusions
• Stability of regime-switching stochastic differential equations
• The Malliavin Calculus and Related Topics
• Upper bounds for the density of solutions to stochastic differential equations driven by fractional Brownian motions

Cited in

(7)

• Fundamental solutions of nonlocal Hörmander's operators. II.
• Smoothness of densities for path-dependent SDEs under Hörmander's condition
• Smoothness of densities of generalized locally non-degenerate Wiener functionals
• On the existence of solutions with smooth density of stochastic differential equations in plane
• Smoothness and asymptotic estimates of densities for SDEs with locally smooth coefficients and applications to square root-type diffusions
• Regularity properties of densities of SDEs using the Fourier analytic approach
• Conditions of smoothness for the distribution density of a solution of a multidimensional linear stochastic differential equation with Lévy noise

This page was built for publication: Smooth density for the solution of scalar SDEs with locally Lipschitz coefficients under Hörmander condition

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2446702)