Stochastic viability and comparison theorems for mixed stochastic differential equations
Probability
2013-04-03 v1
Abstract
For a mixed stochastic differential equation containing both Wiener process and a H\"older continuous process with exponent , 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.
Cite
@article{arxiv.1211.1814,
title = {Stochastic viability and comparison theorems for mixed stochastic differential equations},
author = {Alexander Melnikov and Yuliya Mishura and Georgiy Shevchenko},
journal= {arXiv preprint arXiv:1211.1814},
year = {2013}
}