1998Stochastic Analysis and ApplicationsRequires access

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

Jang Schiltz

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Abstract

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.

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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.

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Available abstract

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.

Key concepts: Malliavin calculus, Mathematics, Stochastic calculus, Time-scale calculus, Stochastic differential equation, Lebesgue measure, Mathematical analysis, Brownian motion

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