Smoothness of the density for solutions to Gaussian rough differential equations

DOI10.1214/13-AOP896zbMath1309.60055arXiv1209.3100WikidataQ56689339 ScholiaQ56689339MaRDI QIDQ482838

Thomas Cass, Christian Litterer, Martin Hairer, Samy Tindel

Publication date: 6 January 2015

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1209.3100

zbMATH Keywords

fractional Brownian motionGaussian processesMalliavin calculusstochastic differential equationsOrnstein-Uhlenbeck processrough path analysis

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07)

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