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 |
Related resource: | http://dx.doi.org/10.3150/10-BEJ327 |
ISSN: | 1350-7265 |
Appears in Collections: | Articles publicats en revistes (Matemàtiques i Informàtica) |
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File | Description | Size | Format | |
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582400.pdf | 193.82 kB | Adobe PDF | View/Open |
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