Journal article

Integrability Of Solutions To Mixed Stochastic Differential Equations

Year:

2014

Published in:

Journal of Mathematical Sciences
Mixed stochastic differential equation
moment of a solution
exponential moment of a solution

We prove that the standard conditions for the unique solvability of a mixed stochastic differential equation guarantee that its solution possesses finite moments. We also give conditions supplying the existence of exponential moments. For a special equation whose coefficients do not satisfy the linear growth condition, we prove the integrability of its solution.

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2011
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Fractional Brownian Motion In A Nutshell

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2007
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Publisher: arxiv

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Tail Measures And Regular Variation

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2008
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2015
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Publisher: Statistical Inference for Stochastic Processes

Authors: Georgiy Shevchenko, Yulia Mishura, Marco Dozzi

2011
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Rate Of Convergence Of Euler Approximations Of Solution To Mixed Stochastic Differential Equation Involving Brownian Motion And Fractional Brownian Motion

Publisher: Random Operators and Stochastic Equations

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Malliavin Regularity Of Solutions To Mixed Stochastic Differential Equations

Publisher: Statistics & Probability Letters

Authors: Georgiy Shevchenko, Taras Shalaiko

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