Journal article

Existence Of Density For Solutions Of Mixed Stochastic Equations

Year:

2016

Published in:

Stochastic and Infinite Dimensional Analysis

Authors:

,

mixed stochastic differential equation

Wiener process

fractional Brownian motion

Hörmander conditions

density with respect to Lebesgue measure

We consider a mixed stochastic differential equation d⁡Xt=a(t,Xt)d⁡t+b(t,Xt)d⁡Wt+c(t,Xt)d⁡BtH driven by independent multidimensional Wiener process and fractional Brownian motion. Under Hörmander type conditions we show that the distribution of

Other publications by

80 publications found

Journal article

Wave Equation With A Coloured Stable Noise

Publisher: Random Operators and Stochastic Equations

Authors: Georgiy Shevchenko, Larysa Pryhara

Journal article

Anatolii Volodymyrovych Skorokhod (1930–2011)

Publisher: Stochastic Processes and their Applications

Authors: Georgiy Shevchenko, Volodymyr Korolyuk, Yuriy Kozachenko, Yulia Mishura, Halyna Syta

Journal article

Integral Representation With Respect To Fractional Brownian Motion Under A Log‑Hölder Assumption

Publisher: Modern Stochastics: Theory and Applications

Authors: Georgiy Shevchenko, Taras Shalaiko

Journal article

Approximations For A Solution To Stochastic Heat Equation With Stable Noise

Publisher: Modern Stochastics: Theory and Applications

Authors: Georgiy Shevchenko, Larysa Pryhara

Journal article

Хвильове Рівняння Зі Стійким Шумом

Publisher: Taras Shevchenko National University of Kyiv

Authors: Georgiy Shevchenko, Larysa Pryhara

Journal article

Convergence Of Solutions Of Mixed Stochastic Delay Differential Equations With Applications

Publisher: Applied Mathematics and Computation

Authors: Georgiy Shevchenko, Yulia Mishura, Taras Shalaiko

Journal article

Approximation Of Random Variables By Functionals Of The Increments Of A Fractional Brownian Motion

Publisher: Theory of Probability and Mathematical Statistics

Authors: Georgiy Shevchenko, Taras Shalaiko

On The Distribution Of Integral Functionals Of A Homogeneous Diffusion Process

Publisher: Bocconi & Springer Series

Authors: Georgiy Shevchenko, M. Perestyuk, Yulia Mishura

Journal article

On Reselling Of European Option

Publisher: Theory of Stochastic Processes

Authors: Georgiy Shevchenko, Yulia Mishura, A. Kukush

Fractional And Multifractional Models In Finance

Publisher: Taras Shevchenko National University of Kyiv

Authors: Georgiy Shevchenko