Existence of densities for stochastic evolution equations driven by fractional Brownian motion
Nascimento, Jorge ; Ohashi, Alberto
arXiv, Tome 2019 (2019) no. 0, / Harvested from
In this work, we prove a version of H\"{o}rmander's theorem for a stochastic evolution equation driven by a trace-class fractional Brownian motion with Hurst exponent $\frac{1}{2} < H < 1$ and an analytic semigroup on a given separable Hilbert space. In contrast to the classical finite-dimensional case, the Jacobian operator in typical solutions of parabolic stochastic PDEs is not invertible which causes a severe difficulty in expressing the Malliavin matrix in terms of an adapted process. Under H\"{o}rmander's bracket condition on the vector fields and the additional assumption that the range of the semigroup is dense, we prove the law of finite-dimensional projections of such solutions has a density w.r.t Lebesgue measure. The argument is based on rough path techniques and a suitable analysis on the Gaussian space of the fractional Brownian motion.
Publié le : 2019-02-21
Classification:  Mathematics - Probability
@article{1902.08106,
     author = {Nascimento, Jorge and Ohashi, Alberto},
     title = {Existence of densities for stochastic evolution equations driven by
  fractional Brownian motion},
     journal = {arXiv},
     volume = {2019},
     number = {0},
     year = {2019},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1902.08106}
}
Nascimento, Jorge; Ohashi, Alberto. Existence of densities for stochastic evolution equations driven by
  fractional Brownian motion. arXiv, Tome 2019 (2019) no. 0, . http://gdmltest.u-ga.fr/item/1902.08106/