ON DIFFERENTIABILITY OF SOLUTION TO STOCHASTIC DIFFERENTIAL EQUATION WITH FRACTIONAL BROWNIAN MOTION

YU. S. MISHURA AND G. M. SHEVCHENKO

Theory of Stochastic Processes Vol.13 (29), no.1-2, 2007, pp.243-250

Stochastic differential equation with pathwise integral with respect to fractional Brownian motion is considered. For solution of such equation, under different conditions, the Malliavin differentiability is proved. Under infinite differentiability and boundedness of derivatives of the coefficients it is proved that the solution is infinitely differentiable in the Malliavin sense with all derivatives bounded.

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