A version of Hörmander’s theorem for the fractional Brownian motion

被引：0
作者：
Fabrice Baudoin
Martin Hairer
机构：
[1] Université Paul Sabatier,Laboratoire de Statistiques et Probabilités
[2] The University of Warwick,Mathematics Institute
来源：
Probability Theory and Related Fields | 2007年 / 139卷
关键词：
Stochastic Differential Equation; Fractional Brownian Motion; Gaussian Measure; Carnot Group; Hurst Parameter;
D O I：
暂无
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学科分类号：
摘要：
It is shown that the law of an SDE driven by fractional Brownian motion with Hurst parameter greater than 1/2 has a smooth density with respect to Lebesgue measure, provided that the driving vector fields satisfy Hörmander’s condition. The main new ingredient of the proof is an extension of Norris’ lemma to this situation.
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页码：373 / 395
页数：22
相关论文
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