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Malliavin differentiability of solutions of rough differential equations

Probability 2014-06-09 v3

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 is smooth in the sense of Malliavin calculus. Examples of Gaussian processes include fractional Brownian motion with Hurst parameter larger than 1/41/4.

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Cite

@article{arxiv.1312.7621,
  title  = {Malliavin differentiability of solutions of rough differential equations},
  author = {Yuzuru Inahama},
  journal= {arXiv preprint arXiv:1312.7621},
  year   = {2014}
}

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18 pages