Exponential bounds for the density of the law of the solution of a SDE with locally Lipschitz coefficients

2024/07/20 by Anton, Cristina
#60H07 (Primary) 60H10 (Secondary) #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.2407.14756

Abstract

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.

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