Stochastic delay equations with non-negativity constraints driven by fractional Brownian motion
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 fraction...
| Authors: | , |
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| Format: | article |
| Status: | Published version |
| Publication Date: | 2012 |
| Country: | España |
| Institution: | Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya) |
| Repository: | Recercat. Dipósit de la Recerca de Catalunya |
| OAI Identifier: | oai:recercat.cat:2445/23405 |
| Online Access: | https://hdl.handle.net/2445/23405 |
| Access Level: | Open access |
| Keyword: | Processos de moviment brownià Equacions diferencials estocàstiques Brownian motion processes Stochastic differential equations |
| Summary: | 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. |
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