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Deterministic characterization of viability for stochasticdifferential equation driven by fractional Brownian motion∗∗∗
Published online by Cambridge University Press: 22 November 2011
Abstract
In this paper, using direct and inverse images for fractional stochastic tangent sets, weestablish the deterministic necessary and sufficient conditions which control that thesolution of a given stochastic differential equation driven by the fractional Brownianmotion evolves in some particular sets K. As a consequence, a comparisontheorem is obtained.
Keywords
- Type
- Research Article
- Information
- ESAIM: Control, Optimisation and Calculus of Variations , Volume 18 , Issue 4 , October 2012 , pp. 915 - 929
- Copyright
- © EDP Sciences, SMAI, 2011
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