Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4590396 | Journal of Functional Analysis | 2014 | 19 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Algebra and Number Theory
Authors
Yuzuru Inahama,