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arxiv: 1211.1814 · v1 · pith:EOGY4LBFnew · submitted 2012-11-08 · 🧮 math.PR

Stochastic viability and comparison theorems for mixed stochastic differential equations

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keywords stochasticcomparisondifferentialmixedprocesstheoremviabilityapplication
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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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