Coupling methods yield sharp Lp regularity estimates for SDEs with path-dependent Lipschitz or scalar Holder diffusion coefficients, plus a counterexample showing Malliavin differentiability fails for general Holder diffusions.
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Regularity of stochastic differential equations on the Wiener space by coupling
Coupling methods yield sharp Lp regularity estimates for SDEs with path-dependent Lipschitz or scalar Holder diffusion coefficients, plus a counterexample showing Malliavin differentiability fails for general Holder diffusions.