Density bounds for solutions to differential equations driven by Gaussian rough paths

DOI10.1007/s10959-019-00967-0zbMath1456.60084arXiv1712.02740OpenAlexW2991460855WikidataQ126759814 ScholiaQ126759814MaRDI QIDQ2181610

Samy Tindel, Benjamin Gess, Cheng Ouyang

Publication date: 19 May 2020

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1712.02740

zbMATH Keywords

fractional Brownian motionGaussian processesMalliavin calculusrough paths

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (6)

Precise local estimates for differential equations driven by fractional Brownian motion: hypoelliptic case ⋮ Skorohod and Stratonovich integrals for controlled processes ⋮ Positivity of the density for rough differential equations ⋮ Random attractors for rough stochastic partial differential equations ⋮ Convergence of trapezoid rule to rough integrals ⋮ ASYMPTOTIC EXPANSION OF THE DENSITY FOR HYPOELLIPTIC ROUGH DIFFERENTIAL EQUATION

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