Reflected stochastic differential equations driven by standard and fractional Brownian motion

被引:0
作者
Chadad, Monir [1 ]
Erraoui, Mohamed [2 ]
机构
[1] Cadi Ayyad Univ, Fac Sci Semlalia, Dept Math, BP 2390, Marrakech 40000, Morocco
[2] Chouaib Doukkali Univ, Fac Sci, Dept Math, Route Ben Maachou, El Jadida 24000, Morocco
关键词
Fractional Brownian motion; mixed stochastic differential equation; pathwise integral; Euler approximation; Skorokhod reflection problem; EULER APPROXIMATION; WIENER PROCESS; UNIQUENESS; EXISTENCE; SDES; CONVERGENCE; RESPECT;
D O I
10.1142/S0219493724500114
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
The reflection problem on the positive half-line with reflection at zero for a time-dependent stochastic differential equations driven by standard and fractional Brownian motion with Hurst parameter H > 1|2 is considered. We prove the existence of weak solutions by using Euler scheme. Moreover, we show that pathwise uniqueness holds and a strong solution exists in the case of additive fractional noise and also up to a stopping time tau for the multiplicative case, but remains an open question beyond tau.
引用
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页数:34
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