Smooth density for the solution of scalar SDEs with locally Lipschitz coefficients under Hörmander condition

M. Tahmasebi

Statistics & Probability Letters, 2014, vol. 85, issue C, 51-62

Abstract: 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 prove the nondegeneracy condition for the solution of the SDE, from it an integration by parts formula would result in the Wiener space. To this end we construct a sequence of SDEs with globally Lipschitz coefficients whose solutions converge to the original one and use some Lyapunov functions to show the uniform boundedness of the p-moments of the solutions and their Malliavin derivatives with respect to n.

Keywords: Smoothness of density; Stochastic differential equation; Semi-monotone drift; Malliavin calculus; Hörmander condition (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715213003842
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:85:y:2014:i:c:p:51-62

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2013.11.004

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().