Stochastic differential equations with non-negativity constraints driven by fractional Brownian motion |
| |
| Authors: | Marco Ferrante Carles Rovira |
| |
| Institution: | 1. Dipartimento di Matematica, Università degli Studi di Padova, Via Trieste 63, 35121, Padova, Italy
2. Facultat de Matemàtiques, Universitat de Barcelona, Gran Via 585, 08007, Barcelona, Spain
|
| |
| Abstract: | 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 we prove an existence result and the boundedness of the solutions. Then, we apply this result pathwise to solve the stochastic problem. |
| |
| Keywords: | |
| 本文献已被 SpringerLink 等数据库收录！ |
|
