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2012

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

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

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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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http://dx.doi.org/10.3150/10-BEJ327

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Processos de moviment brownià, Equacions diferencials estocàstiques

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Brownian motion processes, Stochastic differential equations

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BESALÚ, Mireia and ROVIRA ESCOFET, Carles. Stochastic delay equations with non-negativity constraints driven by fractional Brownian motion. Bernoulli. 2012. Vol. 18, num. 1, pags. 24-45. ISSN 1350-7265. [consulted: 10 of October of 2026]. Available at: https://hdl.handle.net/2445/23405

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