Smoothness of the density for solutions to Gaussian rough differential equations

DOI10.1214/13-AOP896MaRDI QIDQ482838zbMATH OpenWikidataFDO

Authors Thomas Cass, Martin Hairer, Christian Litterer, S. 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, https://projecteuclid.org/euclid.aop/1415801556

zbMATH Keywords

Gaussian processesMalliavin calculusOrnstein-Uhlenbeck processfractional Brownian motionstochastic differential equationsrough path analysis

Mathematics Subject Classification ID

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

Abstract: We consider stochastic differential equations of the form $d{Y}_t=V(Y_t),d{X}_t+V_0(Y_t),dt$ driven by a multi-dimensional Gaussian process. Under the assumption that the vector fields $V_0$ and $V=(V_1,ldots,V_d)$ satisfy H"{o}rmander's bracket condition, we demonstrate that $Y_t$ admits a smooth density for any $tin(0,T]$, provided the driving noise satisfies certain nondegeneracy assumptions. Our analysis relies on relies on an interplay of rough path theory, Malliavin calculus and the theory of Gaussian processes. Our result applies to a broad range of examples including fractional Brownian motion with Hurst parameter $H>1/4$, the Ornstein-Uhlenbeck process and the Brownian bridge returning after time $T$.

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