Delay Equations with Non-negativity Constraints Driven by a Hölder Continuous Function of Order $\beta \in\left(\frac{1}{3}, \frac{1}{2}\right)$
In this note we prove an existence and uniqueness result of solution for multidimensional delay differential equations with normal reflection and driven by a Hölder continuous function of order $\beta \in\left(\frac{1}{3}, \frac{1}{2}\right)$. We also obtain a bound for the supremum norm of this sol...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Estado: | Versión aceptada para publicación |
| Fecha de publicación: | 2014 |
| 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:2445/216547 |
| Acceso en línea: | https://hdl.handle.net/2445/216547 |
| Access Level: | acceso abierto |
| Palabra clave: | Integrals estocàstiques Càlcul de Malliavin Anàlisi estocàstica Stochastic integrals Malliavin calculus Stochastic analysis |
| Sumario: | In this note we prove an existence and uniqueness result of solution for multidimensional delay differential equations with normal reflection and driven by a Hölder continuous function of order $\beta \in\left(\frac{1}{3}, \frac{1}{2}\right)$. We also obtain a bound for the supremum norm of this solution. As an application, we get these results for stochastic differential equations driven by a fractional Brownian motion with Hurst parameter $\mathrm{H} \in\left(\frac{1}{3}, \frac{1}{2}\right)$. |
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