Malliavin calculus and rough paths |
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| Authors: | Thomas Cass Peter Friz |
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| Affiliation: | 1. Mathematical Institute, University of Oxford, 24-29 St. Giles, Oxford, OX1 3LB, United Kingdom;2. Technische Universität Berlin, Institut für Mathematik, Sekr. MA 7-4/MA 7-5, Berlin, Germany |
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| Abstract: | The purpose of this note is to give a unified and streamlined presentation of Gaussian rough path theory (Coutin–Qian, Friz–Victoir) and its interactions with Malliavin calculus and Hörmander theory. The main result of [T. Cass, P. Friz, Densities for RDEs under Hörmander?s condition, Ann. of Math. (2) 171 (3) (2010) 2115–2141] is explained and we conclude with an outlook on open problems. |
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