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math.PR2013
Integration by Parts Formula and Smoothness of Densities of Solutions to SDEs with Locally Lipschitz Coefficients
M. Tahmasebi, S. Zamani
In this work we prove the existence of a smooth density for the solution to an SDE with locally Lipschitz and semimonotone drift, and will derive an exponential decay for this dens…
math.PR2013★ 3 cited
Weak Differentiability of Solutions to SDEs With Semi-Monotone Drifts
Mahdieh Tahmasebi, Shiva Zamani
In this work we prove Malliavin differentiability for the solution to an SDE with locally Lipschitz and semi-monotone drift. To this end we construct a sequence of SDEs with global…