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arXiv · 1305.3462

Malliavin regularity of solutions to mixed stochastic differential equations

Georgiy Shevchenko·Taras Shalaiko
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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.

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Georgiy Shevchenko, Taras Shalaiko. 2013-08-21. Malliavin regularity of solutions to mixed stochastic differential equations. https://doi.org/10.1016/j.spl.2013.08.013

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