Journal article
Integrability Of Solutions To Mixed Stochastic Differential Equations
Year:
2014Published in:
Journal of Mathematical SciencesMixed 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.