Differentiability of SDEs with drifts of super-linear growth
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DOI: 10.1214/18-ejp261
Abstract: We close an unexpected gap in the literature of stochastic differential equations (SDEs) with drifts of super linear growth (and random coefficients), namely, we prove Malliavin and Parametric Differentiability of such SDEs. The former is… read more here.
Keywords: sdes drifts; super linear; differentiability; linear growth ... See more keywords