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

Marco Ferrante; Carles Rovira

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arXiv · 1107.5776

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

Marco Ferrante·Carles Rovira

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Abstract

In this paper we consider stochastic differential equations with non-negativity constraints, driven by a fractional Brownian motion with Hurst parameter $H>\1/2$. 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.

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Marco Ferrante, Carles Rovira. 2011-07-28. Stochastic differential equations with non-negativity constraints driven by fractional Brownian motion. https://arxiv.org/abs/1107.5776

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