Integrability of solutions to mixed stochastic differential equations
Probability
2013-10-08 v1
Abstract
We prove that the standard conditions that provide unique solvability of a mixed stochastic differential equations also guarantee that its solution possesses finite moments. We also present conditions supplying existence of exponential moments. For a special equation whose coefficients do not satisfy the linear growth condition, we find conditions for integrability of its solution.
Keywords
Cite
@article{arxiv.1310.1578,
title = {Integrability of solutions to mixed stochastic differential equations},
author = {Georgiy Shevchenko},
journal= {arXiv preprint arXiv:1310.1578},
year = {2013}
}