Malliavin Calculus for rough stochastic differential equations

Abstract

In this work we show that rough stochastic differential equations (RSDEs), as introduced by Friz, Hocquet, and L\^e (2021), are Malliavin differentiable. We use this to prove existence of a density when the diffusion coefficients satisfies standard ellipticity assumptions. Moreover, when the coefficients are smooth and the diffusion coefficients satisfies a H\"ormander condition, the density is shown to be smooth. The key ingredient is to develop a comprehensive theory of linear rough stochastic differential equations, which could be of independent interest.