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Malliavin regularity of solutions to mixed stochastic differential equations.
- Source :
-
Statistics & Probability Letters . Dec2013, Vol. 83 Issue 12, p2638-2646. 9p. - Publication Year :
- 2013
-
Abstract
- 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. [Copyright &y& Elsevier]
Details
- Language :
- English
- ISSN :
- 01677152
- Volume :
- 83
- Issue :
- 12
- Database :
- Academic Search Index
- Journal :
- Statistics & Probability Letters
- Publication Type :
- Periodical
- Accession number :
- 91599842
- Full Text :
- https://doi.org/10.1016/j.spl.2013.08.013