On Non-degenerate Chaos Processes

Guang Yang

On Non-degenerate Chaos Processes

Probability 2022-08-03 v1

Authors: Guang Yang

Abstract

We consider a process $\{X_t\}_{0\leq t\leq 1}$ in a fixed Wiener chaos $\mathcal{H}_n$ . We establish some non-degenerate properties and related results for $\{X_t\}_{0\leq t\leq 1}$ . As an application, we show that solution to SDE driven by $\{X_t\}_{0\leq t\leq 1}$ admits a density. Our approach relies on an interplay between Malliavin calculus and analysis on Wiener space.

Cite

@article{arxiv.2208.01615,
  title  = {On Non-degenerate Chaos Processes},
  author = {Guang Yang},
  journal= {arXiv preprint arXiv:2208.01615},
  year   = {2022}
}

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