Smoothness of the density for solutions to Gaussian rough differential equations (Q482838)

The authors study the following stochastic differential equation, \[ dY_t = V(Y_t) dX_t + V_0 (Y_t) dt, \quad Y(0)= y_0 \in \mathbb{R}^e, \] driven by an \(\mathbb{R}^d\)-valued continuous Gaussian process \(X\) along \(C_b^{\infty}\) vector fields \(V_0\) and \(V = (V_1,\dots{},V_d)\) on \(\mathbb{R}^e\). The goal of this paper is to show that \(Y_t\) admits a smooth density generalizing previous results to a wide class of Gaussian processes including fractional Brownian motion with Hurst parameter \(H \in (1/4,1/2]\), the Ornstein-Uhlenbeck process and the Brownian bridge.