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journal article
A version of Hormander's theorem for the fractional Brownian motion
November 1, 2007
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 Hormander's condition. The main new ingredient of the proof is an extension of Norris' lemma to this situation.
Type
journal article
Web of Science ID
WOS:000248116500002
Authors
Publication date
2007-11-01
Publisher
Published in
Volume
139
Issue
3-4
Start page
373
End page
395
Peer reviewed
REVIEWED
EPFL units
Available on Infoscience
September 17, 2024
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