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Malliavin calculus with time dependent coefficients applied to a class of stochastic differential equations
Authors:Jang Schiltz
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
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.
Keywords:
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