Densities for Rough Differential Equations under Hoermander's Condition

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dc.creatorCass, Thomas
dc.creatorFriz, Peter
dc.date2007-08-28
dc.date.accessioned2026-07-07T08:26:05Z
dc.date.available2026-07-07T08:26:05Z
dc.descriptionWe 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.
dc.identifierhttps://arxiv.org/abs/0708.3730
dc.identifierhttp://arxiv.org/abs/0708.3730
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/136828
dc.subjectProbability
dc.subject60H07; 60G17
dc.titleDensities for Rough Differential Equations under Hoermander's Condition
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