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math.PR2021
Sensitivity Analysis with respect to a Stock Price Model with Rough Volatility via a Bismut-Elworthy-Li Formula for Singular SDEs
Emmanuel Coffie, Sindre Duedahl, Frank Proske
In this paper, we show the existence of unique Malliavin differentiable solutions to SDE`s driven by a fractional Brownian motion with Hurst parameter H<1/2 and singular, unbounded…
math.PR2015
Construction of Malliavin differentiable strong solutions of SDEs under an integrability condition on the drift without the Yamada-Watanabe principle
David R. Baños, Sindre Duedahl, Thilo Meyer-Brandis +1
In this paper we aim at employing a compactness criterion of Da Prato, Malliavin, Nualart for square integrable Brownian functionals to construct unique strong solutions of SDE's u…