Viability for stochastic differential equations driven by fractional Brownian motion
Dynamical Systems
2008-09-01 v1 Classical Analysis and ODEs
Abstract
In this paper we prove a viability result for multidimensional, time dependent, stochastic differential equations driven by fractional Brownian motion with Hurst parameter1/2 < H < 1, using pathwise approach. The sufficient condition is also an alternative global existence result for the fractional differential equations with restrictions on the state.
Cite
@article{arxiv.0808.3997,
title = {Viability for stochastic differential equations driven by fractional Brownian motion},
author = {Ioana Ciotir and Aurel Rascanu},
journal= {arXiv preprint arXiv:0808.3997},
year = {2008}
}