JOURNAL ARTICLE

Reflected stochastic differential equations driven by standard and fractional Brownian motion.

  • Published In: Stochastics & Dynamics, 2024, v. 24, n. 2. P. 1 1 of 3

  • Database: Academic Search Ultimate 2 of 3

  • Authored By: Chadad, Monir; Erraoui, Mohamed 3 of 3

Abstract

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 τ for the multiplicative case, but remains an open question beyond τ. [ABSTRACT FROM AUTHOR]

Additional Information

  • Source:Stochastics & Dynamics. 2024/03, Vol. 24, Issue 2, p1
  • Document Type:Article
  • Subject Area:History
  • Publication Date:2024
  • ISSN:0219-4937
  • DOI:10.1142/S0219493724500114
  • Accession Number:178117051
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