Density bounds for solutions to differential equations driven by Gaussian rough paths
- Authors: Benjamin Gess, Cheng Ouyang, Samy Tindel
- Preprint year: 2017
- First public date: 2017-12-07
- arXiv: 1712.02740
- Status: Published
- Publication type: Journal article
- Publication year: 2020
- Journal: Journal of theoretical probability, 33 (2020) 2, pp. 611-648
- DOI: 10.1007/s10959-019-00967-0
Abstract
We consider finite dimensional rough differential equations driven by centered Gaussian processes. Combining Malliavin calculus, rough paths techniques and interpolation inequalities, we establish upper bounds on the density of the corresponding solution for any fixed time $t>0$. In addition, we provide Varadhan estimates for the asymptotic behavior of the density for small noise. The emphasis is on working with general Gaussian processes with covariance function satisfying suitable abstract, checkable conditions.