Absolute continuity of finite-dimensional distributions of Hermite processes via Malliavin calculus

We investigate the existence of densities for finite-dimensional
distributions of Hermite processes of order \(q \ge 1\) and self-similarity
parameter \(H\in(\frac12,1)\). Whereas the Gaussian case \(q=1\) (fractional
Brownian motion) is well understood, the non-Gaussian situation has not yet
been settled. In this work, we extend the classical three-step approach used in
the Gaussian case: factorization of the determinant into conditional terms,
strong local nondeterminism, and non-degeneracy. We transport this strategy to
the Hermite setting using Malliavin calculus. Specifically, we establish a
determinant identity for the Malliavin matrix, prove strong local
nondeterminism at the level of Malliavin derivatives, and apply the
Bouleau-Hirsch criterion. Consequently, for any distinct times
\(t_1,\dots,t_n\), the vector \((Z^{H,q}_{t_1},\dots,Z^{H,q}_{t_n})\) of a
Hermite process admits a density with respect to the Lebesgue measure. Beyond
the result itself, the main contribution is the methodology, which could extend
to other non-Gaussian models.