Viability for stochastic differential equations driven by fractional Brownian motion

Details Viability for stochastic differential equations driven by fractional Brownian motion Viability for stochastic differential equations driven by fractional Brownian motion

2008-08-28

arxiv.org/abs/0808.3997v1

Mathematics

Dynamical Systems

Scientific paper

In this paper we prove a viability result for multidimensional, time
dependent, stochastic differential equations driven by fractional Brownian
motion with Hurst parameter1/2 < H < 1, using pathwise approach. The sufficient
condition is also an alternative global existence result for the fractional
differential equations with restrictions on the state.

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