Existence of densities for stochastic evolution equations driven by fractional Brownian motion

DOI10.1142/S021949372150009XzbMATH Open1477.60082arXiv1902.08106OpenAlexW3080276054MaRDI QIDQ4965644FDOQ4965644

Authors: Jorge A. de Nascimento, Alberto Ohashi 

Publication date: 9 March 2021

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Abstract: In this work, we prove a version of H"{o}rmander's theorem for a stochastic evolution equation driven by a trace-class fractional Brownian motion with Hurst exponent $frac12<H<1$ and an analytic semigroup on a given separable Hilbert space. In contrast to the classical finite-dimensional case, the Jacobian operator in typical solutions of parabolic stochastic PDEs is not invertible which causes a severe difficulty in expressing the Malliavin matrix in terms of an adapted process. Under a H"{o}rmander's bracket condition and some algebraic constraints on the vector fields combined with the range of the semigroup, we prove the law of finite-dimensional projections of such solutions has a density w.r.t Lebesgue measure. The argument is based on rough path techniques and a suitable analysis on the Gaussian space of the fractional Brownian motion.

Full work available at URL: https://arxiv.org/abs/1902.08106

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zbMATH Keywords

Malliavin calculusstochastic partial differential equationsfractional Brownian motionHörmander's theorem

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Fractional processes, including fractional Brownian motion (60G22)

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Cited In (7)

• Mild stochastic sewing lemma, SPDE in random environment, and fractional averaging
• A version of Hörmander's theorem for the fractional Brownian motion
• The existence of the density for the solution of stochastic differential equation driven by fractional Brownian motion with Markovian switching
• Upper bounds for the density of solutions to stochastic differential equations driven by fractional Brownian motions
• A version of the Hörmander-Malliavin theorem in 2-smooth Banach spaces
• Existence of density for solutions of mixed stochastic equations
• Jacobi processes driven by fractional Brownian motion

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