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Smooth Density for Some Nilpotent Rough Differential Equations

Author

Listed:
  • Yaozhong Hu

    (University of Kansas)

  • Samy Tindel

    (Université de Nancy 1)

Abstract

In this note, we provide a nontrivial example of a differential equation driven by a fractional Brownian motion with Hurst parameter 1/3

Suggested Citation

  • Yaozhong Hu & Samy Tindel, 2013. "Smooth Density for Some Nilpotent Rough Differential Equations," Journal of Theoretical Probability, Springer, vol. 26(3), pages 722-749, September.
    • Handle: RePEc:spr:jotpro:v:26:y:2013:i:3:d:10.1007_s10959-011-0388-x
    DOI: 10.1007/s10959-011-0388-x
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    References listed on IDEAS

    as
    1. Baudoin, Fabrice & Coutin, Laure, 2007. "Operators associated with a stochastic differential equation driven by fractional Brownian motions," Stochastic Processes and their Applications, Elsevier, vol. 117(5), pages 550-574, May.
    2. Paolo Guasoni, 2006. "No Arbitrage Under Transaction Costs, With Fractional Brownian Motion And Beyond," Mathematical Finance, Wiley Blackwell, vol. 16(3), pages 569-582, July.
    3. Nualart, David & Saussereau, Bruno, 2009. "Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 119(2), pages 391-409, February.
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