Exponential bounds for the density of the law of the solution of a SDE with locally Lipschitz coefficients
Abstract
Under the uniform H\"ormander'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 Gate\aux differentiability.
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