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Affiliation of Author(s):数学学院

Journal:ESAIM-Control Optimisation and Calculus of Variations

Abstract:In this paper, using direct and inverse images for fractional stochastic tangent sets, we establish the deterministic necessary and sufficient conditions which control that the solution of a given stochastic differential equation driven by the fractional Brownian motion evolves in some particular
sets K. As a consequence, a comparison theorem is obtained.

First Author:nietianyang

Indexed by:Journal paper

Correspondence Author:Aurel Rascanu

Document Code:172322

Volume:18

Issue:4

Page Number:915-929

Translation or Not:no

Date of Publication:2012-10-01