Densities for rough differential equations under Hörmander’s condition
Densities for rough differential equations under Hörmander’s condition
We consider stochastic differential equations d Y D V .Y / dX driven by a multidimensional Gaussian process X in the rough path sense [T.Lyons, Rev. Mat.Iberoamericana 14, (1998), 215-310].Using Malliavin Calculus we show that Y t admits a density for t 2 .0;T provided (i) the vector fields V …