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

preprint2013arXivOpen access

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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