Stochastic viability and comparison theorems for mixed stochastic differential equations

DOI10.1007/s11009-013-9336-9zbMath1310.60087arXiv1211.1814OpenAlexW2048090259MaRDI QIDQ2340306

Alexander V. Melnikov, Yuliya S. Mishura, Georgiy M. Shevchenko

Publication date: 16 April 2015

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.1814

zbMATH Keywords

Wiener processfractional Brownian motioncomparison theoremlong-range dependencemixed stochastic differential equationpathwise integralstochastic viabilityHölder continuous processoption price estimation

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fractional derivatives and integrals (26A33) Financial applications of other theories (91G80)

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