Hits:

Institution:数学学院

Title of Paper:Deterministic characterization of viability for stochastic differential equation driven by fractional Brownian motion

Journal:ESAIM-Control Optimisation and Calculus of Variations

Summary: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:聂天洋

Correspondence Author:Aurel Rascanu

Document Code:172322

Volume:18

Issue:4

Page Number:915-929

Translation or Not:No

Date of Publication:2012-10

Release Time:2018-10-29