Smooth Density for Some Nilpotent Rough Differential Equations

Yaozhong Hu () and Samy Tindel ()
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Yaozhong Hu: University of Kansas
Samy Tindel: Université de Nancy 1

Journal of Theoretical Probability, 2013, vol. 26, issue 3, 722-749

Abstract: Abstract In this note, we provide a nontrivial example of a differential equation driven by a fractional Brownian motion with Hurst parameter 1/3

Keywords: Fractional Brownian motion; Rough paths; Malliavin calculus; Nilpotent; Hypoellipticity; 60H07; 60H10; 65C30 (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/s10959-011-0388-x

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