Abstract
In this paper we study rough differential equations driven by Gaussian rough paths from the viewpoint of Malliavin calculus. Under mild assumptions on coefficient vector fields and underlying Gaussian processes, we prove that solutions at a fixed time are smooth in the sense of Malliavin calculus. Examples of Gaussian processes include fractional Brownian motion with Hurst parameter larger than 1/4.
Original language | English |
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Pages (from-to) | 1566-1584 |
Number of pages | 19 |
Journal | Journal of Functional Analysis |
Volume | 267 |
Issue number | 5 |
DOIs | |
Publication status | Published - Sep 1 2014 |
Externally published | Yes |
All Science Journal Classification (ASJC) codes
- Analysis