Exponential bounds for the density of the law of the solution of a SDE with locally Lipschitz coefficients
Author
Faculty Advisor
Date
2024
Keywords
Malliavin covariance matrix, Hörmander’s condition, exponential bounds for density, monotone growth stochastic differential equation
Abstract (summary)
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 obtain estimates for the Malliavin covariance matrix and its inverse, we extend the approach in to SDEs with non-globally Lipschitz coefficients. As in, to avoid non-integrability problems we use results about Malliavin differentiability based on the concepts of Ray Absolute Continuity and Stochastic Gateâux differentiability.
Publication Information
DOI
Notes
Presented on December 20, 2024, at the 14th American Institute of Mathematical Sciences (AIMS) in Abu Dabi, United Arab Emirates.
Item Type
Presentation
Language
Rights
Attribution-NonCommercial-NoDerivs (CC BY-NC-ND)
