Stochastic differential equations with non-negativity constraints driven by fractional Brownian motion
classification
🧮 math.PR
keywords
stochasticbrownianconstraintsdifferentialdrivenequationsfractionalintegral
read the original abstract
In this paper we consider stochastic differential equations with non-negativity constraints, driven by a fractional Brownian motion with Hurst parameter $H>\1/2$. We first study an ordinary integral equation where the integral is defined in the Young sense and then we apply this result pathwise to solve the stochastic problem.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.