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

arXiv1205.3865MaRDI QIDQ6233055FDOQ6233055

Authors: Mireia Besalú, David Márquez-Carreras, Carles Rovira 

Publication date: 17 May 2012

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 $in(frac13,frac12)$.

Mathematics Subject Classification ID

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

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