کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5130069 1378656 2017 23 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Invariance for rough differential equations
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Invariance for rough differential equations
چکیده انگلیسی

In 1990, in Itô's stochastic calculus framework, Aubin and Da Prato established a necessary and sufficient condition of invariance of a nonempty compact or convex subset C of Rd (d∈N∗) for stochastic differential equations (SDE) driven by a Brownian motion. In Lyons rough paths framework, this paper deals with an extension of Aubin and Da Prato's results to rough differential equations. A comparison theorem is provided, and the special case of differential equations driven by a fractional Brownian motion is detailed.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 127, Issue 7, July 2017, Pages 2373-2395
نویسندگان
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