Integration by Parts Formula and Smoothness of Densities of Solutions to SDEs with Locally Lipschitz Coefficients

Abstract: In this work we prove the existence of a smooth density for the solution to an SDE with locally Lipschitz and semimonotone drift, and will derive an exponential decay for this density and all of its derivatives as well. Our main tool in this paper is an integration by parts formula for the solution of the mentioned SDE in the Wiener space. We construct an approximating sequence of SDEs with globally Lipschitz drifts and obtain a uniform bound for the integral of their solutions from which we derive the exponential decay for the derivatives of the density of the original SDE.