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A version of Hormander's theorem for the fractional Brownian motion
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Baudoin, Fabrice and Hairer, Martin (2007) A version of Hormander's theorem for the fractional Brownian motion. PROBABILITY THEORY AND RELATED FIELDS, 139 (3-4). pp. 373-395. doi:10.1007/s00440-006-0035-0 ISSN 0178-8051.
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Official URL: http://dx.doi.org/10.1007/s00440-006-0035-0
Abstract
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.
Item Type: | Journal Article | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Mathematics | ||||
Journal or Publication Title: | PROBABILITY THEORY AND RELATED FIELDS | ||||
Publisher: | SPRINGER | ||||
ISSN: | 0178-8051 | ||||
Official Date: | November 2007 | ||||
Dates: |
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Volume: | 139 | ||||
Number: | 3-4 | ||||
Number of Pages: | 23 | ||||
Page Range: | pp. 373-395 | ||||
DOI: | 10.1007/s00440-006-0035-0 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published |
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