Existence of density for solutions of mixed stochastic equations
Abstract
We consider a mixed stochastic differential equation dXt=a(t,Xt)dt+b(t,Xt) dWt+c(t,Xt)dBHt driven by independent multidimensional Wiener process and fractional Brownian motion. Under Hormander type conditions we show that the distribution of Xt possesses a density with respect to the Lebesgue measure.
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