Malliavin calculus with time dependent coefficients applied to a class of stochastic differential equations |
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Authors: | Jang Schiltz |
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Institution: | Département de Mathématiques , Université de Metz , BP 80794, Metz Cedex, F-57012, France E-mail: schiltz@poncelet.univ-metz.frU.R.A. C.N.R.S. No 399 |
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Abstract: | In this paper, we consider stochastic differential equations with time dependent coefficients driven by an infinite dimensional Brownian motion. Using the stochastic calculus of variations (Malliavin calculus), we prove, that under a local Hörmander condition, the law of the solution possesses a smooth density with respect to Lebesgue measure. |
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