Stochastic viability and comparison theorems for mixed stochastic differential equations

DOI10.1007/S11009-013-9336-9MaRDI QIDQ2340306zbMATH OpenOpenAlexFDO

Authors Alexander Melnikov, Yuliya S. Mishura, G. 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

zbMATH Keywords

comparison theoremfractional Brownian motionHölder continuous processlong-range dependencemixed stochastic differential equationoption price estimationpathwise integralstochastic viabilityWiener process

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

Abstract: For a mixed stochastic differential equation containing both Wiener process and a H"older continuous process with exponent $gamma>1/2$, we prove a stochastic viability theorem. As a consequence, we get a result about positivity of solution and a pathwise comparison theorem. An application to option price estimation is given.

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Cited in

(18)

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