Non-degeneracy of Wiener functionals arising from rough differential equations

@inproceedings{Cass2007NondegeneracyOW,
  title={Non-degeneracy of Wiener functionals arising from rough differential equations},
  author={Thomas Cass and Peter Friz and Nicolas Victoir},
  year={2007}
}
Malliavin Calculus is about Sobolev-type regularity of functionals on Wiener space, the main example being the Ito map obtained by solving stochastic differential equations. Rough path analysis is about strong regularity of solution to (possibly stochastic) differential equations. We combine arguments of both theories and discuss existence of a density for solutions to stochastic differential equations driven by a general class of non-degenerate Gaussian processes, including processes with… CONTINUE READING

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