Malliavin calculus and densities for chaos-driven stochastic differential equations
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| Format: | Preprint |
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2026
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| _version_ | 1866913064788426752 |
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| author | Loosveldt, Laurent Nachit, Yassine Nourdin, Ivan |
| author_facet | Loosveldt, Laurent Nachit, Yassine Nourdin, Ivan |
| contents | We study stochastic differential equations driven by finite-order chaos processes on abstract Wiener spaces, with pathwise Riemann-Stieltjes integration. The driving noise is an $\mathbb{R}^m$-valued chaotic process given by multiple Wiener-Itô integrals of fixed order, allowing for non-Gaussian dynamics. Under mild smoothness assumptions on the coefficients and Hölder-type regularity of the noise, we establish existence and uniqueness of solutions. We then prove Malliavin differentiability and absolute continuity of the law of the solution. Since the usual Gaussian isonormal framework is unavailable, we rely on the Kusuoka-Stroock approach to Malliavin calculus and develop a Taylor expansion for multiple integrals under Cameron-Martin shifts. Under suitable ellipticity, independence, and non-degeneracy conditions, the Bouleau-Hirsch criterion yields density results. Applications to multidimensional Hermite-driven equations are provided. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2604_24189 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Malliavin calculus and densities for chaos-driven stochastic differential equations Loosveldt, Laurent Nachit, Yassine Nourdin, Ivan Probability 60H07, 60H10, 60G22, 60H05 We study stochastic differential equations driven by finite-order chaos processes on abstract Wiener spaces, with pathwise Riemann-Stieltjes integration. The driving noise is an $\mathbb{R}^m$-valued chaotic process given by multiple Wiener-Itô integrals of fixed order, allowing for non-Gaussian dynamics. Under mild smoothness assumptions on the coefficients and Hölder-type regularity of the noise, we establish existence and uniqueness of solutions. We then prove Malliavin differentiability and absolute continuity of the law of the solution. Since the usual Gaussian isonormal framework is unavailable, we rely on the Kusuoka-Stroock approach to Malliavin calculus and develop a Taylor expansion for multiple integrals under Cameron-Martin shifts. Under suitable ellipticity, independence, and non-degeneracy conditions, the Bouleau-Hirsch criterion yields density results. Applications to multidimensional Hermite-driven equations are provided. |
| title | Malliavin calculus and densities for chaos-driven stochastic differential equations |
| topic | Probability 60H07, 60H10, 60G22, 60H05 |
| url | https://arxiv.org/abs/2604.24189 |