Stochastic delay equations with non-negativity constraints driven by fractional Brownian motion


Autoria(s): Besalú, Mireia; Rovira Escofet, Carles
Contribuinte(s)

Universitat de Barcelona

Data(s)

18/04/2012

Resumo

In this note we prove an existence and uniqueness result for the solution of multidimensional stochastic delay differential equations with normal reflection. The equations are driven by a fractional Brownian motion with Hurst parameter H > 1/2. The stochastic integral with respect to the fractional Brownian motion is a pathwise Riemann¿Stieltjes integral.

Identificador

http://hdl.handle.net/2445/23405

Idioma(s)

eng

Publicador

Bernoulli Society for Mathematical Statistics and Probability

Direitos

(c) ISI/BS, International Statistical Institute, Bernoulli Society, 2012

info:eu-repo/semantics/openAccess

Palavras-Chave #Processos de moviment brownià #Equacions diferencials estocàstiques #Brownian motion processes #Stochastic differential equations
Tipo

info:eu-repo/semantics/article