Stochastic viability and comparison theorems for mixed stochastic differential equations
DOI10.1007/s11009-013-9336-9zbMath1310.60087arXiv1211.1814OpenAlexW2048090259MaRDI QIDQ2340306
Alexander V. Melnikov, Yuliya S. Mishura, Georgiy M. Shevchenko
Publication date: 16 April 2015
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1211.1814
Wiener processfractional Brownian motioncomparison theoremlong-range dependencemixed stochastic differential equationpathwise integralstochastic viabilityHölder continuous processoption price estimation
Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fractional derivatives and integrals (26A33) Financial applications of other theories (91G80)
Related Items (11)
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