Stochastic delay equations with non-negativity constraints driven by fractional Brownian motion

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dc.contributor	Universitat de Barcelona
dc.contributor.author	Besalú, Mireia
dc.contributor.author	Rovira Escofet, Carles
dc.date	2012-04-10T10:54:58Z
dc.date	2012-04-10T10:54:58Z
dc.date	2012
dc.identifier.citation	1350-7265
dc.identifier.citation	582400
dc.identifier.uri	http://hdl.handle.net/2445/23405
dc.format	22 p.
dc.format	application/pdf
dc.language.iso	eng
dc.publisher	Bernoulli Society for Mathematical Statistics and Probability
dc.relation	Reproducció del document publicat a: http://dx.doi.org/10.3150/10-BEJ327
dc.relation	Bernoulli, 2012, vol. 18, núm. 1, p. 24-45
dc.relation	http://dx.doi.org/10.3150/10-BEJ327
dc.rights	(c) ISI/BS, International Statistical Institute, Bernoulli Society, 2012
dc.rights	info:eu-repo/semantics/openAccess
dc.subject	Processos de moviment brownià
dc.subject	Equacions diferencials estocàstiques
dc.subject	Brownian motion processes
dc.subject	Stochastic differential equations
dc.title	Stochastic delay equations with non-negativity constraints driven by fractional Brownian motion
dc.type	info:eu-repo/semantics/article
dc.type	info:eu-repo/semantics/publishedVersion
dc.description.abstract	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.

Márquez, David (Márquez Carreras); Rovira Escofet, Carles; Tindel, Samy

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Márquez, David (Márquez Carreras); Rovira Escofet, Carles

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Ferrante, Marco; Rovira Escofet, Carles

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