Stochastic delay equations with non-negativity constraints driven by fractional Brownian motion
| 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.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.identifier.idgrec | 582400 | |
| dc.identifier.issn | 1350-7265 | |
| dc.identifier.uri | https://hdl.handle.net/2445/23405 | |
| 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.rights.accessRights | info:eu-repo/semantics/openAccess | |
| 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 |
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