Bernoulli

Stochastic delay equations with non-negativity constraints driven by fractional Brownian motion

Mireia Besalú and Carles Rovira

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Abstract

In this note we prove an existence and uniqueness result for the solution of multidimensional stochastic delay differential equations with normal reflection. The equations are driven by a fractional Brownian motion with Hurst parameter H > 1/2. The stochastic integral with respect to the fractional Brownian motion is a pathwise Riemann–Stieltjes integral.

Article information

Source
Bernoulli, Volume 18, Number 1 (2012), 24-45.

Dates
First available in Project Euclid: 20 January 2012

Permanent link to this document
https://projecteuclid.org/euclid.bj/1327068616

Digital Object Identifier
doi:10.3150/10-BEJ327

Mathematical Reviews number (MathSciNet)
MR2888697

Zentralblatt MATH identifier
1254.60054

Keywords
fractional Brownian motion normal reflection Riemann–Stieltjes integral stochastic delay equation

Citation

Besalú, Mireia; Rovira, Carles. Stochastic delay equations with non-negativity constraints driven by fractional Brownian motion. Bernoulli 18 (2012), no. 1, 24--45. doi:10.3150/10-BEJ327. https://projecteuclid.org/euclid.bj/1327068616


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