On the Construction and Malliavin Differentiability of Levy Noise Driven SDEs with Singular Coefficients

2013/05/09 by Sven Haadem, Haadem, Sven, Frank Proske +1
Computer Science · Economics, Econometrics and Finance · Engineering · #Advanced Mathematical Modeling in Engineering #FOS: Mathematics #Functional Analysis (math.FA) #Probability (math.PR) #Stability and Controllability of Differential Equations #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1305.2043

openalex publication_date 2013/05/09 · openalex created_date 2016/06/24 · openalex updated_date 2026/07/28

Abstract

In this paper we introduce a new technique to construct unique strong solutions of SDEs with singular coefficients driven by certain Levy processes. Our method which is based on Malliavin calculus does not rely on a pathwise uniqueness argument. Furthermore, the approach, which provides a direct construction principle, grants the additional insight that the obtained solutions are Malliavin differentiable.

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