| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1152010 | Statistics & Probability Letters | 2013 | 9 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Georgiy Shevchenko, Taras Shalaiko,