Regularity of probability laws by using an interpolation method

DOI10.1007/978-3-319-27128-6_3zbMATH Open1371.60096arXiv1211.0052OpenAlexW1564650365MaRDI QIDQ2813625FDOQ2813625

Authors: Lucia Caramellino, Vlad Bally 

Publication date: 24 June 2016

Published in: Advanced Courses in Mathematics - CRM Barcelona (Search for Journal in Brave)

Abstract: We study the problem of the existence and regularity of a probability density in an abstract framework based on a "balancing" with approximating absolutely continuous laws. Typically, the absolutely continuous property for the approximating laws can be proved by standard techniques from Malliavin calculus whereas for the law of interest no Malliavin integration by parts formulas are available. Our results are strongly based on the use of suitable Hermite polynomial series expansions and can be merged into the theory of interpolation spaces. We then apply the results to the solution to a stochastic differential equation with a local H"ormander condition or to the solution to the stochastic heat equation, in both cases under weak conditions on the coefficients relaxing the standard Lipschitz or H"older continuity requests.

Full work available at URL: https://arxiv.org/abs/1211.0052

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Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic integrals (60H05)

Cited In (9)

• A simple method for the existence of a density for stochastic evolutions with rough coefficients
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• Parametric regularity of the conditional expectations via the Malliavin calculus and applications
• Total variation distance between stochastic polynomials and invariance principles
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• Smoothness of densities for path-dependent SDEs under Hörmander's condition
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