Malliavin regularity of solutions to mixed stochastic differential equations

Published 15 May 2013 in math.PR | (1305.3462v2)

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

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