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

Sven Haadem; Frank Proske

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arXiv · 1305.2043

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

Sven Haadem·Frank Proske

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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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Sven Haadem, Frank Proske. 2013-05-09. On the Construction and Malliavin Differentiability of Levy Noise Driven SDEs with Singular Coefficients. https://arxiv.org/abs/1305.2043

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