Regularity of Wiener functionals under a Hörmander type condition of order one

Vlad Bally 1, 2 Lucia Caramellino 3
1 MATHRISK - Mathematical Risk Handling
UPEM - Université Paris-Est Marne-la-Vallée, ENPC - École des Ponts ParisTech, Inria de Paris
2 LAMA - Laboratoire d'Analyse et de Mathématiques Appliquées
3 Dipartimento di Matematica [Rome]
Abstract : We study the local existence and regularity of the density of the law of a functional on the Wiener space which satisfies a criterion that generalizes the Hörmander condition of order one (that is, involving the first order Lie brackets) for diffusion processes.
Keywords : local integration by parts formulas Malliavin calculus total variation distance variance of the Brownian path
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Vlad Bally, Lucia Caramellino. Regularity of Wiener functionals under a Hörmander type condition of order one. Annals of Probability, 2017, 45 (3), pp.1488-1511. ⟨hal-01413556⟩

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