Malliavin regularity of solutions to mixed stochastic differential equations
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Publication:2439634
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
Wiener process; fractional Brownian motion; mixed stochastic differential equation; Malliavin regularity
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
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