Smooth density for some nilpotent rough differential equations
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Publication:376255
DOI10.1007/S10959-011-0388-XzbMATH Open1277.60101arXiv1104.1972OpenAlexW2120437929MaRDI QIDQ376255FDOQ376255
Authors: Yaozhong Hu, S. Tindel 
Publication date: 4 November 2013
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Abstract: In this note, we provide a non trivial example of differential equation driven by a fractional Brownian motion with Hurst parameter 1/3 < H < 1/2, whose solution admits a smooth density with respect to Lebesgue's measure. The result is obtained through the use of an explicit representation of the solution when the vector fields of the equation are nilpotent, plus a Norris type lemma in the rough paths context.
Full work available at URL: https://arxiv.org/abs/1104.1972
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Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)
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Cited In (8)
- Random attractors for rough stochastic partial differential equations
- Smoothness of the density for solutions to Gaussian rough differential equations
- On probability laws of solutions to differential systems driven by a fractional Brownian motion
- Densities for rough differential equations under Hörmander's condition
- Sensitivity of rough differential equations: an approach through the omega lemma
- Smoothness of densities for path-dependent SDEs under Hörmander's condition
- Malliavin differentiability of solutions of rough differential equations
- ASYMPTOTIC EXPANSION OF THE DENSITY FOR HYPOELLIPTIC ROUGH DIFFERENTIAL EQUATION
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