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

Vlad Bally (1, 2) , Lucia Caramellino (3)

1 MATHRISK - Mathematical Risk handling
2 LAMA - Laboratoire d'Analyse et de Mathématiques Appliquées
3 DIPMAT - Dipartimento di Matematica [Roma II]

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.

Domaines: Probabilités [math.PR]

Vlad Bally, Lucia Caramellino. Regularity of Wiener functionals under an Hörmander type condition of order one. 2013. ⟨hal-00926413⟩