7 citations · 10 across the 3 of their papers we have counts for
3 papers
math.PR2007★ 2 cited
Densities for Rough Differential Equations under Hoermander's Condition
Thomas Cass, Peter Friz
We consider stochastic differential equations dY=V(Y)dX driven by a multidimensional Gaussian process X in the rough path sense. Using Malliavin Calculus we show that Y(t) admits a…
math.PR2007★ 1 cited
Non-degeneracy of Wiener functionals arising from rough differential equations
Thomas Cass, Peter Friz, Nicolas Victoir
Malliavin Calculus is about Sobolev-type regularity of functionals on Wiener space, the main example being the Ito map obtained by solving stochastic differential equations. Rough…
math.PR2007★ 7 cited
Smooth densities for stochastic differential equations with jumps
Thomas Cass
We consider a solution to a generic Markovian jump diffusion and show that for positive times the law of the solution process has a smooth density with respect to Lebesgue measure…