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

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

2010-03-11

arxiv.org/abs/1003.2289v2

Bernoulli 2012, Vol. 18, No. 1, 24-45

Mathematics

Probability

Published in at http://dx.doi.org/10.3150/10-BEJ327 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statisti

Scientific paper

10.3150/10-BEJ327

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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