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

Besalú, Mireia; Rovira Escofet, Carles

Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/23405

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DC Field	Value	Language
dc.contributor.author	Besalú, Mireia	cat
dc.contributor.author	Rovira Escofet, Carles	cat
dc.date.accessioned	2012-04-10T10:54:58Z	-
dc.date.available	2012-04-10T10:54:58Z	-
dc.date.issued	2012	-
dc.identifier.issn	1350-7265	-
dc.identifier.uri	http://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.extent	22 p.	-
dc.format.mimetype	application/pdf	-
dc.language.iso	eng	eng
dc.publisher	Bernoulli Society for Mathematical Statistics and Probability	-
dc.relation.isformatof	Reproducció del document publicat a: http://dx.doi.org/10.3150/10-BEJ327	-
dc.relation.ispartof	Bernoulli, 2012, vol. 18, núm. 1, p. 24-45	-
dc.relation.uri	http://dx.doi.org/10.3150/10-BEJ327	-
dc.rights	(c) ISI/BS, International Statistical Institute, Bernoulli Society, 2012	-
dc.source	Articles publicats en revistes (Matemàtiques i Informàtica)	-
dc.subject.classification	Processos de moviment brownià	cat
dc.subject.classification	Equacions diferencials estocàstiques	cat
dc.subject.other	Brownian motion processes	eng
dc.subject.other	Stochastic differential equations	eng
dc.title	Stochastic delay equations with non-negativity constraints driven by fractional Brownian motion	eng
dc.type	info:eu-repo/semantics/article	-
dc.type	info:eu-repo/semantics/publishedVersion	-
dc.identifier.idgrec	582400	-
dc.rights.accessRights	info:eu-repo/semantics/openAccess	-
Appears in Collections:	Articles publicats en revistes (Matemàtiques i Informàtica)

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