The Malliavin calculus and stochastic delay equations (Q1178828): Difference between revisions

The authors investigate the regularity of the distribution of the solution \(x(t)\) of the stochastic delay equation in \(\mathbb{R}^ d\) \[ dx(t)= g(x(t-r))dW(t),\;t>0;\;x(t)= \eta(t),\;-r\leq t\leq 0, \] where \(W\) is \(n\)- dimensional Brownian motion, \(r>0\), and \(\eta\) is a deterministic function. Under appropriate conditions they show that the solution \(x(t)\) admits a \(C^{\infty}\)-density with respect to Lebesgue measure. The main difference to an earlier paper of S. Kusuoka and D. Stroock lies in the fact that \(x\) is a non-Markov process. The proof is based on the Malliavin calculus and new probabilistic lower bounds on \(x\). The matrix- valued function \(g\) is such that \[ \exists \lambda>0\quad\exists\delta>0: g(v)g(v)^*\geq \lambda(\min(v^ 2, \delta))I, \] where \(I\) is the identity matrix.