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Title: Smoothness of directed chain stochastic differential equations
We study the smoothness of the solution of the directed chain stochastic differential equations, where each process is affected by its neighborhood process in an infinite directed chain graph, introduced by Detering et al. (2020). Because of the auxiliary process in the chain-like structure, classic methods of Malliavin derivatives are not directly applicable. Namely, we cannot make a connection between the Malliavin derivative and the first order derivative of the state process. It turns out that the partial Malliavin derivatives can be used here to fix this problem.  more » « less
Award ID(s):
2008427
PAR ID:
10544731
Author(s) / Creator(s):
;
Editor(s):
Toninelli, C
Publisher / Repository:
Institute of Mathematical Statistics and Bernoulli Society
Date Published:
Journal Name:
Electronic Journal of Probability
Volume:
29
ISSN:
1083-6489
Page Range / eLocation ID:
1-28
Subject(s) / Keyword(s):
60H07 60H30 60K35 diffusions on graph directed chain SDEs partial Malliavin calculus smoothness
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
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