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

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

2011-07-28

arxiv.org/abs/1107.5776v2

Mathematics

Probability

Scientific paper

In this paper we consider stochastic differential equations with
non-negativity constraints, driven by a fractional Brownian motion with Hurst
parameter $H>\1/2$. We first study an ordinary integral equation where the
integral is defined in the Young sense and then we apply this result pathwise
to solve the stochastic problem.

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