Journal article

Existence Of Density For Solutions Of Mixed Stochastic Equations

Year:

2016

Published in:

Stochastic and Infinite Dimensional Analysis

Authors:

,

mixed stochastic differential equation

Wiener process

fractional Brownian motion

Hörmander conditions

density with respect to Lebesgue measure

We consider a mixed stochastic differential equation d⁡Xt=a(t,Xt)d⁡t+b(t,Xt)d⁡Wt+c(t,Xt)d⁡BtH driven by independent multidimensional Wiener process and fractional Brownian motion. Under Hörmander type conditions we show that the distribution of

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