Positivity of the Density for Rough Differential Equations

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Abstract

Due to recent developments of Malliavin calculus for rough differential equations, it is now known that, under natural assumptions, the law of a unique solution at a fixed time has a smooth density function. Therefore, it is quite natural to ask whether or when the density is strictly positive. In this paper we study this problem from the viewpoint of Aida–Kusuoka–Stroock’s general theory.

Original languageEnglish
JournalJournal of Theoretical Probability
DOIs
Publication statusAccepted/In press - 2021

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Mathematics(all)
  • Statistics, Probability and Uncertainty

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