Stochastic viability and comparison theorems for mixed stochastic differential equations
classification
🧮 math.PR
keywords
stochasticcomparisondifferentialmixedprocesstheoremviabilityapplication
read the original abstract
For a mixed stochastic differential equation containing both Wiener process and a H\"older continuous process with exponent $\gamma>1/2$, we prove a stochastic viability theorem. As a consequence, we get a result about positivity of solution and a pathwise comparison theorem. An application to option price estimation is given.
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