Regularity of Wiener functionals under a Hörmander type condition of order one

Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Applications of stochastic analysis (to PDEs, etc.) (60H30) Brownian motion (60J65)

Abstract: We study the local existence and regularity of the density of the law of a functional on the Wiener space which satisfies a criterion that generalizes the H"ormander condition of order one (that is, involving the first order Lie brackets) for diffusion processes.

Review text

The framework is Malliavin calculus. Hörmander's theorem gives sufficient non-degeneracy assumptions in order that the law of a diffusion process is absolutely continuous with respect to the Lebesgue measure on the one hand, and has a smooth density on the other hand. Here, the authors generalize this result to functionals defined on the Wiener space. Loosely speaking, this works by the fact that one can control the Malliavin derivatives and the Malliavin covariance matrix of the functionals, by the means of which one can construct integration by parts formulae.

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