Malliavin differentiability of solutions of rough differential equations

DOI10.1016/J.JFA.2014.06.011zbMATH Open1296.60142OpenAlexW2962865644MaRDI QIDQ2253151FDOQ2253151

Authors Yuzuru Inahama

Publication date 25 July 2014

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

Full work available at URL https://arxiv.org/abs/1312.7621

zbMATH Keywords

Malliavin calculusGaussian processrough path theory

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic analysis (60H99)

Abstract: In this paper we study rough differential equations driven by Gaussian rough paths from the viewpoint of Malliavin calculus. Under mild assumptions on coefficient vector fields and underlying Gaussian processes, we prove that solutions at a fixed time is smooth in the sense of Malliavin calculus. Examples of Gaussian processes include fractional Brownian motion with Hurst parameter larger than $1/4$.

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Cited in

(27)

• Smoothness of directed chain stochastic differential equations
• Malliavin calculus and densities for singular stochastic partial differential equations
• Varadhan estimates for rough differential equations driven by fractional Brownian motions
• Malliavin calculus and rough paths
• A moment estimate of the derivative process in rough path theory
• Skorohod and rough integration for stochastic differential equations driven by Volterra processes
• On the definition of a solution to a rough differential equation
• Sensitivity of rough differential equations: an approach through the omega lemma
• On the existence and regularity of local times
• A Stratonovich-Skorohod integral formula for Gaussian rough paths
• Rough path theory and stochastic calculus
• On probability laws of solutions to differential systems driven by a fractional Brownian motion
• Non-degeneracy of stochastic line integrals
• Quasi-sure non-self-intersection for rough differential equations driven by fractional Brownian motion
• Positivity of the density for rough differential equations
• Regularity of the Itô-Lyons map
• Sensitivities \textit{via} rough paths
• Precise Laplace asymptotics for singular stochastic PDEs: the case of 2D gPAM
• Smoothness of the density for solutions to Gaussian rough differential equations
• Density of the signature process of fBm
• Existence of density for solutions of mixed stochastic equations
• Euler scheme for SDEs driven by fractional Brownian motions: Malliavin differentiability and uniform upper-bound estimates
• ASYMPTOTIC EXPANSION OF THE DENSITY FOR HYPOELLIPTIC ROUGH DIFFERENTIAL EQUATION
• Density bounds for solutions to differential equations driven by Gaussian rough paths
• A version of Hörmander's theorem for Markovian rough paths
• SUPPORT THEOREM FOR PINNED DIFFUSION PROCESSES
• Regularization by noise for rough differential equations driven by Gaussian rough paths

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