Malliavin regularity of solutions to mixed stochastic differential equations

Georgiy Shevchenko and Taras Shalaiko

Statistics & Probability Letters, 2013, vol. 83, issue 12, 2638-2646

Abstract: 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.

Keywords: Mixed stochastic differential equation; Fractional Brownian motion; Wiener process; Malliavin regularity (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1016/j.spl.2013.08.013

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