Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/23405
Title: Stochastic delay equations with non-negativity constraints driven by fractional Brownian motion
Author: Besalú, Mireia
Rovira Escofet, Carles
Keywords: Processos de moviment brownià
Equacions diferencials estocàstiques
Brownian motion processes
Stochastic differential equations
Issue Date: 2012
Publisher: Bernoulli Society for Mathematical Statistics and Probability
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.
Note: Reproducció del document publicat a: http://dx.doi.org/10.3150/10-BEJ327
It is part of: Bernoulli, 2012, vol. 18, núm. 1, p. 24-45
URI: http://hdl.handle.net/2445/23405
ISSN: 1350-7265
Appears in Collections:Articles publicats en revistes (Matemàtiques i Informàtica)

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