Anticipating stochastic differential equations: Regularity of the law

DOI10.1006/JFAN.1996.2972MaRDI QIDQ677474zbMATH OpenOpenAlexFDO

Authors Carles Rovira, Marta Sanz-Solé

Publication date 7 December 1997

Published in Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1006/jfan.1996.2972

zbMATH Keywords

densityHörmander conditionMalliavin calculusstochastic differential equation with anticipating initial condition

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Review text

Continuing to work on the way initiated by \textit{T. Masuda} [J. Math. Kyoto Univ. 32, No. 3, 527-531 (1992; Zbl 0768.60054)] and \textit{M. E. Caballero}, \textit{B. Fernández} and \textit{D. Nualart} [Stochastics Stochastics Rep. 52, No. 3/4, 303-322 (1995; Zbl 0864.60040)] the authors study sufficient conditions for the existence and regularity of densities for the probability law of the solution to a multi-dimensional stochastic Stratonovich differential equation of diffusion type with smooth diffusion and drift functions \(A_j\), \(1\leq j\leq 4\), and \(A_0\), resp., and an anticipating initial condition \(X_0\) satisfying some assumptions on its Malliavin derivative. Two different types of conditions are developed: First a restricted Hörmander condition on the diffusion functions \(A_1,\dots,A_k\), which has to be satisfied on the whole Euclidean space, and secondly an unrestricted Hörmander condition which is similar to the classical one (one takes the Lie algebra generated by \(A_j\), \([A_0,A_j]\), \(1\leq j\leq 4)\), except that the Lie brackets have to be calculated now at the random point \(X_0\). Finally, a highly degenerate case is studied.

Recommendations

• Smoothness of distributions for solutions of anticipating stochastic differential equations
• scientific article; zbMATH DE number 1121870
• scientific article; zbMATH DE number 1076106

Cited in

(7)

• Logarithmic estimates for the density of an anticipating stochastic differential equation
• Good rough path sequences and applications to anticipating stochastic calculus
• scientific article; zbMATH DE number 458912 (Why is no real title available?)
• scientific article; zbMATH DE number 1222326 (Why is no real title available?)
• scientific article; zbMATH DE number 1076106 (Why is no real title available?)
• scientific article; zbMATH DE number 1121870 (Why is no real title available?)
• Smoothness of distributions for solutions of anticipating stochastic differential equations

This page was built for publication: Anticipating stochastic differential equations: Regularity of the law

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q677474)