Smoothness of densities for path-dependent SDEs under Hörmander's condition

DOI10.1016/J.JFA.2021.109225zbMATH Open1495.60046arXiv2011.04089OpenAlexW3194774164MaRDI QIDQ2235849FDOQ2235849

Authors: Alberto Ohashi, Francesco Russo, Evelina Shamarova 

Publication date: 22 October 2021

Published in: Journal of Functional Analysis (Search for Journal in Brave)

Abstract: We establish the existence of smooth densities for solutions to a broad class of path-dependent SDEs under a H"ormander-type condition. The classical scheme based on the reduced Malliavin matrix turns out to be unavailable in the path-dependent context. We approach the problem by lifting the given $n$-dimensional path-dependent SDE into a suitable $L_p$-type Banach space in such a way that the lifted Banach-space-valued equation becomes a state-dependent reformulation of the original SDE. We then formulate H"ormander's bracket condition in $mathbb{R}^n$ for non-anticipative SDE coefficients defining the Lie brackets in terms of vertical derivatives in the sense of the functional It^o calculus. Our pathway to the main result engages an interplay between the analysis of SDEs in Banach spaces, Malliavin calculus, and rough path techniques.

Full work available at URL: https://arxiv.org/abs/2011.04089

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zbMATH Keywords

rough pathspath-dependent SDEsSDEs in Banach spacesHörmander's theorem

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic functional-differential equations (34K50) Rough paths (60L20)

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Cited In (9)

• Hörmander's theorem for semilinear SPDEs
• Random attractors for rough stochastic partial differential equations
• Smoothness and asymptotic estimates of densities for SDEs with locally smooth coefficients and applications to square root-type diffusions
• Densities for rough differential equations under Hörmander's condition
• A version of Hörmander's theorem for Markovian rough paths
• On the support of solutions to stochastic differential equations with path-dependent coefficients
• A Hörmander condition for delayed stochastic differential equations
• Smooth density for the solution of scalar SDEs with locally Lipschitz coefficients under Hörmander condition
• Lipschitz-stability of controlled rough paths and rough differential equations

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