Malliavin regularity of solutions to mixed stochastic differential equations

DOI10.1016/j.spl.2013.08.013zbMath1287.60075arXiv1305.3462MaRDI QIDQ2439634

Taras Shalaiko, Georgiy M. Shevchenko

Publication date: 14 March 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1305.3462

zbMATH Keywords

Wiener process; fractional Brownian motion; mixed stochastic differential equation; Malliavin regularity

Mathematics Subject Classification ID

60G22: Fractional processes, including fractional Brownian motion

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H07: Stochastic calculus of variations and the Malliavin calculus

Related Items

Existence of Density for Solutions of Mixed Stochastic Equations, Convergence of solutions of mixed stochastic delay differential equations with applications, Integrability of solutions to mixed stochastic differential equations, Stability of a class of impulsive neutral stochastic functional partial differential equations, Exponential stability for neutral stochastic functional partial differential equations driven by Brownian motion and fractional Brownian motion, The existence, uniqueness, and controllability of neutral stochastic delay partial differential equations driven by standard Brownian motion and fractional Brownian motion, Existence and uniqueness for solutions of mixed stochastic delay differential equations, Existence and exponential stability in the \(p\)th moment for impulsive neutral stochastic integro-differential equations driven by mixed fractional Brownian motion, Rate of convergence of Euler approximation of time-dependent mixed SDEs driven by Brownian motions and fractional Brownian motions, Mixed stochastic delay differential equations

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