The H\"ormander condition for delayed stochastic differential equations

Abstract

In this paper, we are interested in path-dependent stochastic differential equations (SDEs) which are controlled by Brownian motion and its delays. Within this non-Markovian context, we give a H \"ormander-type criterion for the regularity of solutions. Indeed, our criterion is expressed as a spanning condition with brackets. A novelty in the case of delays is that noise can "flow from the past" and give additional smoothness thanks to semi-brackets. The proof follows the general lines of Malliavin's probabilistic proof, in the Markovian case. Nevertheless, in order to handle the non-Markovian aspects of this problem and to treat anticipative integrals in a path-wise fashion, we heavily invoke rough path integration.