Viability for differential equations driven by fractional Brownian motion

DOI10.1016/j.jde.2009.06.002zbMath1168.60018arXiv0808.3997OpenAlexW2097196681MaRDI QIDQ833296

Ioana Ciotir, Aurel Răşcanu

Publication date: 12 August 2009

Published in: Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0808.3997

zbMATH Keywords

fractional Brownian motionstochastic differential equationsviability

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

Related Items (14)

Invariance for rough differential equations ⋮ Existence, uniqueness and stability of fuzzy fractional differential equations with local Lipschitz and linear growth conditions ⋮ Uncertain fractional differential equations and an interest rate model ⋮ Viability for stochastic functional differential equations with infinite memory driven by a fractional Brownian motion ⋮ Viability for mixed stochastic differential equations driven by fractional Brownian motion and its application ⋮ State-constrained porous media control systems with application to stabilization ⋮ Viability for stochastic differential equations driven by \(G\)-Brownian motion ⋮ Viability for coupled SDEs driven by fractional Brownian motion ⋮ A sufficient condition of viability for fractional differential equations with the Caputo derivative ⋮ Viability for stochastic functional differential equations in Hilbert spaces driven by fractional Brownian motion ⋮ Invariance of closed convex sets for stochastic functional differential equations ⋮ Stochastic viability and comparison theorems for mixed stochastic differential equations ⋮ Viability of fractional differential inclusions ⋮ Viability property for multi-dimensional stochastic differential equation and its applications to comparison theorem

Cites Work

• Integration with respect to fractal functions and stochastic calculus. I
• Stochastic analysis of the fractional Brownian motion
• Viability for constrained stochastic differential equations
• Viability of moving sets for stochastic differential equation.
• Differential equations driven by fractional Brownian motion
• Stochastic integration with respect to fractional Brownian motion
• An inequality of the Hölder type, connected with Stieltjes integration
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• The viability theorem for stochastic differential inclusions²
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Fractional Brownian Motions, Fractional Noises and Applications
• Stochastic calculus with respect to Gaussian processes
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