Simplified probabilistic approach to the Hörmander theorem (Q5949473)
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scientific article; zbMATH DE number 1675837
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Simplified probabilistic approach to the Hörmander theorem |
scientific article; zbMATH DE number 1675837 |
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Simplified probabilistic approach to the Hörmander theorem (English)
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21 October 2002
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The authors discuss sufficient conditions under which the probability law of the solution to a stochastic differential equation has a smooth transition density. A new lemma is presented that has an important role in the Malliavin calculus. This result is proved by using tools like the Itô formula and the Fubini-type theorem for stochastic integrals. This lemma is in turn used for a proof of the Hörmander theorem.
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Hörmander theorem
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Malliavin calculus
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stochastic integrals
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