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 documento: | artigo |
| Estado: | Versão publicada |
| Data de publicação: | 2012 |
| País: | España |
| Recursos: | Universidad de Barcelona |
| Repositório: | Dipòsit Digital de la UB |
| OAI Identifier: | oai:diposit.ub.edu:2445/23405 |
| Acesso em linha: | https://hdl.handle.net/2445/23405 |
| Access Level: | Acceso aberto |
| Palavra-chave: | Processos de moviment brownià Equacions diferencials estocàstiques Brownian motion processes Stochastic differential equations |
| 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. |
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