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

Besalú, MireiaRovira Escofet, Carles2012-04-102012-04-1020121350-7265https://hdl.handle.net/2445/23405In 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.22 p.application/pdfeng(c) ISI/BS, International Statistical Institute, Bernoulli Society, 2012Processos de moviment browniàEquacions diferencials estocàstiquesBrownian motion processesStochastic differential equationsStochastic delay equations with non-negativity constraints driven by fractional Brownian motioninfo:eu-repo/semantics/article582400info:eu-repo/semantics/openAccess