Smooth density for some nilpotent rough differential equations - Archive ouverte HAL
Article Dans Une Revue Journal of Theoretical Probability Année : 2013

Smooth density for some nilpotent rough differential equations

Résumé

In this note, we provide a non trivial example of differential equation driven by a fractional Brownian motion with Hurst parameter 1/3 < H < 1/2, whose solution admits a smooth density with respect to Lebesgue's measure. The result is obtained through the use of an explicit representation of the solution when the vector fields of the equation are nilpotent, plus a Norris type lemma in the rough paths context.
Fichier principal
Vignette du fichier
h-t-norris8.pdf (312.8 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-00584938 , version 1 (11-04-2011)

Identifiants

Citer

Yaozhong Hu, Samy Tindel. Smooth density for some nilpotent rough differential equations. Journal of Theoretical Probability, 2013, 26 (3), pp.722-749. ⟨10.1007/s10959-011-0388-x⟩. ⟨hal-00584938⟩
263 Consultations
186 Téléchargements

Altmetric

Partager

More