Stochastic delay equations with non-negativity constraints driven by fractional Brownian motion (Q408082)
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scientific article; zbMATH DE number 6019031
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| English | Stochastic delay equations with non-negativity constraints driven by fractional Brownian motion |
scientific article; zbMATH DE number 6019031 |
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Stochastic delay equations with non-negativity constraints driven by fractional Brownian motion (English)
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29 March 2012
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The authors prove an existence and uniqueness result for the solution of multidimensional stochastic delay differential equations with normal reflection. The equations are driven by a fractional Brownian motion with Hurst parameter \(H > 1/2\). The stochastic integral with respect to the fractional Brownian motion is a pathwise Riemann-Stieltjes integral.
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fractional Brownian motion
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normal reflection
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Riemann-Stieltjes integral
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stochastic delay equation
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0.9060006737709044
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0.8910151124000549
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0.8736929893493652
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0.8661083579063416
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