Malliavin calculus with time dependent coefficients applied to a class of stochastic differential equations

Malliavin calculus with time dependent coefficients applied to a class of stochastic differential equations

In this paper, we consider stochastic differential equations with time dependent coefficients driven by an infinite dimensional Brownian motion. Using the stochastic calculus of variations (Malliavin calculus), we prove, that under a local Hörmander condition, the law of the solution possesses a smo...

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Veröffentlicht in:Stochastic analysis and applications 1998-01, Vol.16 (6), p.1073-1100
1. Verfasser: Schiltz, Jang
Format: Artikel
Sprache:eng
Schlagworte:
Exact sciences and technology
Mathematics
Probability and statistics
Probability theory and stochastic processes
Sciences and techniques of general use
Stochastic analysis
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Zusammenfassung:In this paper, we consider stochastic differential equations with time dependent coefficients driven by an infinite dimensional Brownian motion. Using the stochastic calculus of variations (Malliavin calculus), we prove, that under a local Hörmander condition, the law of the solution possesses a smooth density with respect to Lebesgue measure.
ISSN:0736-2994
1532-9356
DOI:10.1080/07362999808809580