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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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Bernoulli Society for Mathematical Statistics and Probability

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(c) ISI/BS, International Statistical Institute, Bernoulli Society, 2012

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Articles publicats en revistes (Matemàtiques i Informàtica)

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