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

DOI10.3150/10-BEJ327zbMath1254.60054arXiv1003.2289MaRDI QIDQ408082

Carles Rovira, Mireia Besalú

Publication date: 29 March 2012

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1003.2289

zbMATH Keywords

fractional Brownian motion; stochastic delay equation; Riemann-Stieltjes integral; normal reflection

Mathematics Subject Classification ID

60G22: Fractional processes, including fractional Brownian motion

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H99: Stochastic analysis

Related Items

Stochastic differential equations with nonnegativity constraints driven by fractional Brownian motion, Malliavin calculus for fractional delay equations, Retarded evolution systems driven by fractional Brownian motion with Hurst parameter \(H>1/2\)

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