Reproduce “Probability Density With Respect to Lebesgue Measure for the Solution of the Rough Feynman–Kac Equation With Brownian Input via Malliavin Calculus” on OpenResearch
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About this paper
Mehdi Thaoui
The authors prove that a rough Feynman–Kac functional has a density under conditions. A rough Brownian path drives a diffusion, while an auxiliary Brownian motion is averaged with an exponential terminal-payoff weight. They encode the weight as a state coordinate. The result requires augmented noise directions to span the state space and a one-sided payoff bound; it establishes absolute continuity, not smoothness.
Summary by alphaXiv.
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