Malliavin regularity of solutions to mixed stochastic differential equations
Probability
2013-09-25 v2
Abstract
For a mixed stochastic differential driven by independent fractional Brownian motions and Wiener processes, the existence and integrability of the Malliavin derivative of its solution are established. It is also proved that the solution possesses exponential moments.
Keywords
Cite
@article{arxiv.1305.3462,
title = {Malliavin regularity of solutions to mixed stochastic differential equations},
author = {Georgiy Shevchenko and Taras Shalaiko},
journal= {arXiv preprint arXiv:1305.3462},
year = {2013}
}