Stochastic differential equations with nonnegativity constraints driven by fractional Brownian motion (Q370944)

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Stochastic differential equations with nonnegativity constraints driven by fractional Brownian motion
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    Stochastic differential equations with nonnegativity constraints driven by fractional Brownian motion (English)
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    20 September 2013
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    The authors consider a stochastic differential equation with normal reflection on \(\mathbb{R}_+^d\) of the form \[ X(t) = X(0) + \int_0^t b(s,X(s))ds + \int_0^t \sigma(s,X(s))dW_s^H + Y(t), \quad t \in (0,T], \] where \(X^{i}(0) > 0\) for \(i = 1,\dots ,d\), \(W^H = \{ W^{H,j}~, j=1,\dots ,m\}\) are independent fractional Brownian motions with Hurst parameter \(H > \frac{1}{2}\) defined in a complete probability space \((\Omega, {\mathcal F}, \operatorname{P})\), and \(Y\) is a vector-valued non-decreasing process which ensures that the nonnegativity constraints on \(X\) are enforced. The authors prove the existence of a solution using an equi-continuous argument but the uniqueness is still an open problem.
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    stochastic differential equations
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    normal reflection
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    fractional Brownian motion
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    Young integral
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