Absolute continuity and Fokker-Planck equation for the law of Wong-Zakai approximations of Itô's stochastic differential equations

Abstract: We investigate the regularity of the law of Wong-Zakai-type approximations for It^o stochastic differential equations. These approximations solve random differential equations where the diffusion coefficient is Wick-multiplied by the smoothed white noise. Using a criteria based on the Malliavin calculus we establish absolute continuity and a Fokker-Planck-type equation solved in the distributional sense by the density. The parabolic smoothing effect typical of the solutions of It^o equations is lacking in this approximated framework; therefore, in order to prove absolute continuity, the initial condition of the random differential equation needs to possess a density itself.