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

DOI10.3150/10-BEJ327zbMath1254.60054arXiv1003.2289OpenAlexW2747715062MaRDI QIDQ408082

Mireia Besalú, Carles Rovira

Publication date: 29 March 2012

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1003.2289

zbMATH Keywords

fractional Brownian motionstochastic delay equationRiemann-Stieltjes integralnormal reflection

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic analysis (60H99)

Related Items (11)

Convergence of solutions of mixed stochastic delay differential equations with applications ⋮ Controllability of nonlinear impulsive stochastic evolution systems driven by fractional Brownian motion ⋮ Stochastic differential equations with nonnegativity constraints driven by fractional Brownian motion ⋮ Mixed stochastic delay differential equations ⋮ Retarded evolution systems driven by fractional Brownian motion with Hurst parameter \(H>1/2\) ⋮ Neutral stochastic differential equations driven by a fractional Brownian motion with impulsive effects and varying-time delays ⋮ Malliavin calculus for fractional delay equations ⋮ Neutral stochastic integrodifferential equations driven by a fractional Brownian motion with impulsive effects and time-varying delays ⋮ Delay equations with non-negativity constraints driven by a Hölder continuous function of order \(\beta\in\left(\frac{1}{3},\frac{1}{2}\right)\) ⋮ Existence and uniqueness for solutions of mixed stochastic delay differential equations ⋮ Weak convergence of SFDEs driven by fractional Brownian motion with irregular coefficients

Cites Work

• Convergence of delay differential equations driven by fractional Brownian motion
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• Malliavin calculus for fractional delay equations
• Stochastic delay differential equations driven by fractional Brownian motion with Hurst parameter \(H> \frac12\)
• Numerical methods for controlled stochastic delay systems
• Delay equations driven by rough paths
• Integration with respect to fractal functions and stochastic calculus. I
• Differential equations driven by fractional Brownian motion
• Differential equations driven by rough signals. I: An extension of an inequality of L. C. Young
• An inequality of the Hölder type, connected with Stieltjes integration
• Rough path analysis via fractional calculus
• Some Differential Systems Driven by a fBm with Hurst Parameter Greater than 1/4
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