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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
Smooth density for the Solution of Scalar SDEs with Locally Lipschitz Coefficients under Hörmander Condition
Mahdieh Tahmasebi
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 Hörmander condition. We pro…
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…