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arXiv · 1310.1578

Integrability of solutions to mixed stochastic differential equations

Georgiy Shevchenko
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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.

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Georgiy Shevchenko. 2013-10-06. Integrability of solutions to mixed stochastic differential equations. https://arxiv.org/abs/1310.1578

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