Existence of density for solutions of mixed stochastic equations

preprint2014arXivOpen access

Abstract

We consider a mixed stochastic differential equation dXt=a(t,Xt)dt+b(t,Xt)dWt+c(t,Xt)dBtHd{X_t}=a(t,X_t)d{t}+b(t,X_t) d{W_t}+c(t,X_t)d{B^H_t} driven by independent multidimensional Wiener process and fractional Brownian motion. Under Hormander type conditions we show that the distribution of XtX_t possesses a density with respect to the Lebesgue measure.

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