Smooth Density for Some Nilpotent Rough Differential Equations
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DOI: 10.1007/s10959-011-0388-x
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- 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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- 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.
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Keywords
Fractional Brownian motion; Rough paths; Malliavin calculus; Nilpotent; Hypoellipticity;All these keywords.
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