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arXiv · 1003.2289

Stochastic delay equations with non-negativity constraints driven by fractional Brownian motion

Mireia Besalú·Carles Rovira
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Abstract

In this note we prove an existence and uniqueness result for the solution of multidimensional stochastic delay differential equations with normal reflection. The equations are driven by a fractional Brownian motion with Hurst parameter $H>1/2$. The stochastic integral with respect to the fractional Brownian motion is a pathwise Riemann--Stieltjes integral.

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Mireia Besalú, Carles Rovira. 2012-03-02. Stochastic delay equations with non-negativity constraints driven by fractional Brownian motion. https://doi.org/10.3150/10-bej327

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