Malliavin differentiability of solutions of rough differential equations

研究成果: ジャーナルへの寄稿記事

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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.

元の言語英語
ページ(範囲)1566-1584
ページ数19
ジャーナルJournal of Functional Analysis
267
発行部数5
DOI
出版物ステータス出版済み - 9 1 2014
外部発表Yes

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All Science Journal Classification (ASJC) codes

  • Analysis

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