Journal article

Malliavin Regularity Of Solutions To Mixed Stochastic Differential Equations

Year:

2013

Published in:

Statistics & Probability Letters

Authors:

,

mixed stochastic differential equation (SDE)

fractional Brownian motion (fBm)

Malliavin derivative

exponential moments

long memory

For a mixed stochastic differential equation driven by independent fractional Brownian motions and Wiener processes, the existence and integrability of the Malliavin derivative of the solution are established. It is also proved that the solution possesses exponential moments.

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