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arXiv · 0808.3997

Viability for stochastic differential equations driven by fractional Brownian motion

Ioana Ciotir·Aurel Rascanu
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Abstract

In this paper we prove a viability result for multidimensional, time dependent, stochastic differential equations driven by fractional Brownian motion with Hurst parameter1/2 < H < 1, using pathwise approach. The sufficient condition is also an alternative global existence result for the fractional differential equations with restrictions on the state.

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Ioana Ciotir, Aurel Rascanu. 2008-08-28. Viability for stochastic differential equations driven by fractional Brownian motion. https://arxiv.org/abs/0808.3997

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