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Title:
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Stochastic delay equations with non-negativity constraints driven by fractional Brownian motion
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Author:
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Besalú, Mireia; Rovira Escofet, Carles
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Other authors:
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Universitat de Barcelona |
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Abstract:
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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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Subject(s):
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-Processos de moviment brownià
-Equacions diferencials estocàstiques
-Brownian motion processes
-Stochastic differential equations |
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Rights:
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(c) ISI/BS, International Statistical Institute, Bernoulli Society, 2012
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Document type:
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Article
Article - Published version |
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Published by:
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Bernoulli Society for Mathematical Statistics and Probability
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