| Issue |
ESAIM: PS
Volume 11, February 2007
Special Issue: "Stochastic analysis and mathematical finance" in honor of Nicole El Karoui's 60th birthday
|
|
|---|---|---|
| Page(s) | 365 - 380 | |
| DOI | https://doi.org/10.1051/ps:2007024 | |
| Published online | 17 August 2007 | |
Probability density for a hyperbolic SPDE with time dependent coefficients
Facultat de Matemàtiques, Universitat de Barcelona, Gran Via 585, 08007 Barcelona, Spain; marta.sanz@ub.edu; itorrecilla@ub.edu
Received:
10
July
2006
Accepted:
26
December
2006
We prove the existence and smoothness of density for the solution of a hyperbolic SPDE with free term coefficients depending on time, under hypoelliptic non degeneracy conditions. The result extends those proved in Cattiaux and Mesnager, PTRF 123 (2002) 453-483 to an infinite dimensional setting.
Mathematics Subject Classification: 60H07 / 60H15 / 60G60
Key words: Malliavin calculus. Stochastic partial differential equations. Two-parameter processes.
© EDP Sciences, SMAI, 2007
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