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...
| Autores: | , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2012 |
| País: | España |
| Institución: | Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya) |
| Repositorio: | Recercat. Dipósit de la Recerca de Catalunya |
| OAI Identifier: | oai:recercat.cat:2445/23405 |
| Acceso en línea: | https://hdl.handle.net/2445/23405 |
| Access Level: | acceso abierto |
| Palabra clave: | Processos de moviment brownià Equacions diferencials estocàstiques Brownian motion processes Stochastic differential equations |
| Sumario: | 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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