dc.contributor.author
Besalú, Mireia
dc.contributor.author
Rovira Escofet, Carles
dc.date.issued
2012-04-10T10:54:58Z
dc.date.issued
2012-04-10T10:54:58Z
dc.identifier
https://hdl.handle.net/2445/23405
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.
dc.format
application/pdf
dc.format
application/pdf
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.source
Articles publicats en revistes (Matemàtiques i Informàtica)
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
