Delay Equations with Non-negativity Constraints Driven by a Hölder Continuous Function of Order \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$\beta \in \left(\frac13,\frac12\right)$\end{document}

被引:0
作者
Mireia Besalú
David Márquez-Carreras
Carles Rovira
机构
[1] Universitat de Barcelona,Facultat de Matemàtiques
关键词
Delay equation; Normal reflection; Stochastic differential equation; Fractional Brownian motion; Fractional integral; 60H05; 60H07;
D O I
10.1007/s11118-013-9365-6
中图分类号
学科分类号
摘要
In this note we prove an existence and uniqueness result of solution for multidimensional delay differential equations with normal reflection and driven by a Hölder continuous function of order \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$\beta \in (\frac13,\frac12)$\end{document}. We also obtain a bound for the supremum norm of this solution. As an application, we get these results for stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$\in (\frac13,\frac12)$\end{document}.
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页码:117 / 141
页数:24
相关论文
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