Simplified probabilistic approach to the Hörmander theorem (Q5949473)

The authors discuss sufficient conditions under which the probability law of the solution to a stochastic differential equation has a smooth transition density. A new lemma is presented that has an important role in the Malliavin calculus. This result is proved by using tools like the Itô formula and the Fubini-type theorem for stochastic integrals. This lemma is in turn used for a proof of the Hörmander theorem.