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stochastic viability

ESAIM: Control, Optimisation and Calculus of Variations (1)

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1 results

Deterministic characterization of viability for stochasticdifferential equation driven by fractional Brownian motion ∗∗∗
Tianyang Nie, Aurel Răşcanu
Journal:

ESAIM: Control, Optimisation and Calculus of Variations / Volume 18 / Issue 4 / October 2012

Published online by Cambridge University Press:

22 November 2011, pp. 915-929

Print publication:

October 2012
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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.