Exponential bounds for the density of the law of the solution of a SDE with locally Lipschitz coefficients
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arXiv
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| Format: | Preprint |
| Veröffentlicht: |
2024
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| _version_ | 1866909263171944448 |
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| author | Anton, Cristina |
| author_facet | Anton, Cristina |
| contents | Under the uniform Hörmander's hypothesis we study smoothness and exponential bounds of the density of the law of the solution of a stochastic differential equation (SDE) with locally Lipschitz drift that satisfy a monotonicity condition. To avoid non-integrability problems we use results about Malliavin differentiability based on the concepts of Ray Absolute Continuity and Stochastic Gateâux differentiability. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2407_14756 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Exponential bounds for the density of the law of the solution of a SDE with locally Lipschitz coefficients Anton, Cristina Probability 60H07 (Primary) 60H10 (Secondary) Under the uniform Hörmander's hypothesis we study smoothness and exponential bounds of the density of the law of the solution of a stochastic differential equation (SDE) with locally Lipschitz drift that satisfy a monotonicity condition. To avoid non-integrability problems we use results about Malliavin differentiability based on the concepts of Ray Absolute Continuity and Stochastic Gateâux differentiability. |
| title | Exponential bounds for the density of the law of the solution of a SDE with locally Lipschitz coefficients |
| topic | Probability 60H07 (Primary) 60H10 (Secondary) |
| url | https://arxiv.org/abs/2407.14756 |