Solutions to SDEs driven by finite-order chaos processes are shown to be Malliavin differentiable with absolutely continuous laws via adapted Kusuoka-Stroock methods and Bouleau-Hirsch criterion.
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Malliavin calculus and densities for chaos-driven stochastic differential equations
Solutions to SDEs driven by finite-order chaos processes are shown to be Malliavin differentiable with absolutely continuous laws via adapted Kusuoka-Stroock methods and Bouleau-Hirsch criterion.