Smoothness of the density for solutions to Gaussian rough differential equations

DOI10.1214/13-AOP896zbMath1309.60055arXiv1209.3100WikidataQ56689339 ScholiaQ56689339MaRDI QIDQ482838

Thomas Cass, Christian Litterer, Martin Hairer, Samy Tindel

Publication date: 6 January 2015

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1209.3100

zbMATH Keywords

fractional Brownian motionGaussian processesMalliavin calculusstochastic differential equationsOrnstein-Uhlenbeck processrough path analysis

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items

Stochastic calculus with respect to \(G\)-Brownian motion viewed through rough paths, Gaussian-type lower bounds for the density of solutions of SDEs driven by fractional Brownian motions, The Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory, Existence of Density for Solutions of Mixed Stochastic Equations, Precise Laplace asymptotics for singular stochastic PDEs: the case of 2D gPAM, Precise local estimates for differential equations driven by fractional Brownian motion: hypoelliptic case, Skorohod and Stratonovich integrals for controlled processes, On probability laws of solutions to differential systems driven by a fractional Brownian motion, Malliavin calculus for regularity structures: the case of gPAM, Mutual intersection for rough differential systems driven by fractional Brownian motions, Constrained rough paths, A support and density theorem for Markovian rough paths, Young differential equations with power type nonlinearities, Physical Brownian motion in a magnetic field as a rough path, Density bounds for solutions to differential equations driven by Gaussian rough paths, Regularity of the Itô-Lyons map, Positivity of the density for rough differential equations, Dynamics of the stochastic Lorenz chaotic system with long memory effects, Precise local estimates for differential equations driven by fractional Brownian motion: elliptic case, Rough paths and symmetric-Stratonovich integrals driven by singular covariance Gaussian processes, Rough paths and SPDE, Random attractors for rough stochastic partial differential equations, Non-degeneracy of stochastic line integrals, On the (non)stationary density of fractional-driven stochastic differential equations, A version of Hörmander's theorem for Markovian rough paths, Regularity of the law of solutions to the stochastic heat equation with non-Lipschitz reaction term, Rough differential equations driven by signals in Besov spaces, Penalisation techniques for one-dimensional reflected rough differential equations, Malliavin regularity of solutions to mixed stochastic differential equations, Selection properties and set-valued Young integrals of set-valued functions, A Hörmander condition for delayed stochastic differential equations, Rough path theory and stochastic calculus, Discrete rough paths and limit theorems, A Stratonovich-Skorohod integral formula for Gaussian rough paths, ON THE REGULARITY OF SLE TRACE, Density of the signature process of fBm, First-order Euler scheme for SDEs driven by fractional Brownian motions: the rough case, Smoothness of densities for path-dependent SDEs under Hörmander's condition, Malliavin differentiability of solutions of rough differential equations, Geometric versus non-geometric rough paths, Varadhan estimates for rough differential equations driven by fractional Brownian motions, Skorohod and rough integration for stochastic differential equations driven by Volterra processes, Existence of densities for stochastic evolution equations driven by fractional Brownian motion, ASYMPTOTIC EXPANSION OF THE DENSITY FOR HYPOELLIPTIC ROUGH DIFFERENTIAL EQUATION, Optimal convergence rate of modified milstein scheme for SDEs with rough fractional diffusions, Rough homogenisation with fractional dynamics

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Short time kernel asymptotics for Young SDE by means of Watanabe distribution theory
• Regularity of laws and ergodicity of hypoelliptic SDEs driven by rough paths
• Integrability and tail estimates for Gaussian rough differential equations
• Smooth density for some nilpotent rough differential equations
• A note on higher dimensional \(p\)-variation
• Ergodicity of hypoelliptic SDEs driven by fractional Brownian motion
• Small-time kernel expansion for solutions of stochastic differential equations driven by fractional Brownian motions
• A theory of hypoellipticity and unique ergodicity for semilinear stochastic PDEs
• On Malliavin's proof of Hörmander's theorem
• Ramification of rough paths
• A variation embedding theorem and applications
• Densities for rough differential equations under Hörmander's condition
• Differential equations driven by Gaussian signals
• Joint continuity of Gaussian local times
• Continuity of Gaussian local times
• Differential equations driven by rough signals
• Small values of Gaussian processes and functional laws of the iterated logarithm
• The Schur complement and its applications
• Maximum of a fractional Brownian motion: Probabilities of small values
• On a characterization of the Sobolev spaces over an abstract Wiener space
• Stochastic analysis, rough path analysis and fractional Brownian motions.
• Controlling rough paths
• Malliavin differentiability of solutions of rough differential equations
• Upper bounds for the density of solutions to stochastic differential equations driven by fractional Brownian motions
• Hypoelliptic second order differential equations
• A version of Hörmander's theorem for the fractional Brownian motion
• A generalized Fernique theorem and applications
• The Malliavin Calculus and Related Topics
• Multidimensional Stochastic Processes as Rough Paths
• Non-degeneracy of Wiener functionals arising from rough differential equations
• Existence of small ball constants for fractional Brownian motions
• Doob--Meyer for rough paths