Stochastic differential equations with non-negativity constraints driven by fractional Brownian motion
Probability
2012-03-14 v2
Abstract
In this paper we consider stochastic differential equations with non-negativity constraints, driven by a fractional Brownian motion with Hurst parameter . 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.
Keywords
Cite
@article{arxiv.1107.5776,
title = {Stochastic differential equations with non-negativity constraints driven by fractional Brownian motion},
author = {Marco Ferrante and Carles Rovira},
journal= {arXiv preprint arXiv:1107.5776},
year = {2012}
}