Malliavin differentiability of solutions of rough differential equations

DOI10.1016/J.JFA.2014.06.011zbMATH Open1296.60142arXiv1312.7621OpenAlexW2962865644MaRDI QIDQ2253151FDOQ2253151

Authors: Yuzuru Inahama 

Publication date: 25 July 2014

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

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 $1/4$.

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

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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)

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Cited In (24)

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

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