Shevchenko, Georgiy; Shalaiko, Taras - In: Statistics & Probability Letters 83 (2013) 12, pp. 2638-2646
For a mixed stochastic differential equation driven by independent fractional Brownian motions and Wiener processes, the existence and integrability of the Malliavin derivative of the solution are established. It is also proved that the solution possesses exponential moments.