分数布朗运动驱动的非负约束随机延迟方程
概率论
2012-03-05 v2 统计理论
统计理论
摘要
本文证明了具有法向反射的多维随机延迟微分方程解的存在唯一性结果。这些方程由Hurst参数的分数布朗运动驱动。关于分数布朗运动的随机积分是路径wise的Riemann-Stieltjes积分。
引用
@article{arxiv.1003.2289,
title = {Stochastic delay equations with non-negativity constraints driven by fractional Brownian motion},
author = {Mireia Besalú and Carles Rovira},
journal= {arXiv preprint arXiv:1003.2289},
year = {2012}
}
备注
Published in at http://dx.doi.org/10.3150/10-BEJ327 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)