Delay equations with non-negativity constraints driven by a H\"older continuous function of order \beta in (1/3,1/2)

MaRDI QIDQ6233055zbMATH OpenFDO

Authors Mireia Besalú, David Márquez-Carreras, Carles Rovira

Publication date 17 May 2012

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic integrals (60H05)

Abstract: In this note we prove an existence and uniqueness result of solution for multidimensional delay differential equations with normal reflection and driven by a H"older continuous function of order $$. We also obtain a bound for the supremum norm of this solution. As an application, we get these results for stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H $in(frac13,frac12)$.

This page was built for publication: Delay equations with non-negativity constraints driven by a H\"older continuous function of order \beta in (1/3,1/2)

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6233055)