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

DOI10.1016/J.JFA.2021.109225MaRDI QIDQ2235849zbMATH OpenOpenAlexFDO

Authors Alberto Ohashi, Francesco Russo, Evelina Shamarova

Publication date 22 October 2021

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

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

rough paths path-dependent SDEs SDEs in Banach spaces Hörmander's theorem

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

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

m a t h b b 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.

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