Stochastic delay equations with non-negativity constraints driven by fractional Brownian motion
Contribuinte(s) |
Universitat de Barcelona |
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Data(s) |
18/04/2012
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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 | |
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 |