Hypoelliptic non-homogeneous diffusions |
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| Authors: | Patrick Cattiaux Laurent Mesnager |
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| Institution: | (1) Ecole Polytechnique, CMAP, F-91128 Palaiseau Cedex, France. e-mail: cattiaux@@cmapx.polytechnique.fr, FR;(2) Modal'X, Université de Paris X, UFR SEGMI, 200 avenue de laRépublique, F-92001 Nanterre Cedex, France. e-mail: mesnager@@modalx.u-paris10.fr, FR |
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| Abstract: | Let be a time dependent second order operator, written in usual or H?rmander form. We study the regularity of the law of the
associated non-homogeneous (time dependent) diffusion process, under H?rmander's like conditions. Coefficients are only H?lder
continuous in time. The main tool is Malliavin calculus. Our results extend and correct previous ones (17] and related works,
15]). Related topics like filtering theory, killed or reflected processes, parabolic hypoellipticity are also discussed.
Received: October 1999/Revised version: 12 November 2001 / Published online: 1 July 2002 |
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