Smoothness of densities for path-dependent SDEs under Hormander's condition

摘要

We establish the existence of smooth densities for solutions to a broad class of path-dependent SDEs under a Hormander-type condition. The classical scheme based on the reduced Malliavin matrix turns out to be unavailable in the path-dependent context. We approach the problem by lifting the given n-dimensional path-dependent SDE into a suitable L-p-type Banach space in such a way that the lifted Banach-space-valued equation becomes a state-dependent reformulation of the original SDE. We then formulate Hormander's bracket condition in R-n for non-anticipative SDE coefficients defining the Lie brackets in terms of vertical derivatives in the sense of the functional Ito calculus. Our pathway to the main result engages an interplay between the analysis of SDEs in Banach spaces, Malliavin calculus, and rough path techniques. (C) 2021 Elsevier Inc. All rights reserved.