Densities for rough differential equations under Hörmander's condition
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Publication:974084
DOI10.4007/ANNALS.2010.171.2115zbMATH Open1205.60105arXiv0708.3730OpenAlexW2009646458WikidataQ56689337 ScholiaQ56689337MaRDI QIDQ974084FDOQ974084
Publication date: 27 May 2010
Published in: Annals of Mathematics. Second Series (Search for Journal in Brave)
Abstract: We consider stochastic differential equations dY=V(Y)dX driven by a multidimensional Gaussian process X in the rough path sense. Using Malliavin Calculus we show that Y(t) admits a density for t in (0,T] provided (i) the vector fields V=(V_1,...,V_d) satisfy Hoermander's condition and (ii) the Gaussian driving signal X satisfies certain conditions. Examples of driving signals include fractional Brownian motion with Hurst parameter H>1/4, the Brownian Bridge returning to zero after time T and the Ornstein-Uhlenbeck process.
Full work available at URL: https://arxiv.org/abs/0708.3730
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