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

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