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journal article

A version of Hormander's theorem for the fractional Brownian motion

Baudoin, Fabrice
•
Hairer, Martin  
November 1, 2007
PROBABILITY THEORY AND RELATED FIELDS

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.

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Type
journal article
DOI
10.1007/s00440-006-0035-0
Web of Science ID

WOS:000248116500002

Author(s)
Baudoin, Fabrice
Hairer, Martin  
Date Issued

2007-11-01

Publisher

SPRINGER HEIDELBERG

Published in
PROBABILITY THEORY AND RELATED FIELDS
Volume

139

Issue

3-4

Start page

373

End page

395

Subjects

INTEGRATION

•

CALCULUS

•

Science & Technology

•

Physical Sciences

Editorial or Peer reviewed

REVIEWED

Written at

OTHER

EPFL units
PROPDE  
FunderFunding(s)Grant NumberGrant URL
Available on Infoscience
September 17, 2024
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/241248
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