DETERMINISTIC CHARACTERIZATION OF VIABILITY FOR STOCHASTIC DIFFERENTIAL EQUATION DRIVEN BY FRACTIONAL BROWNIAN MOTION

被引：7
|
作者：
Nie, Tianyang [1 ,2 ]
Rascanu, Aurel [2 ,3 ]
机构：
[1] Shandong Univ, Sch Math, Jinan 250100, Shandong, Peoples R China
[2] Alexandru Ioan Cuza Univ, Fac Math, Iasi 700506, Romania
[3] Romanian Acad, Octav Mayer Math Inst, Iasi 700506, Romania
来源：
ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS | 2012年 / 18卷 / 04期
关键词：
Stochastic viability; stochastic differential equation; stochastic tangent set; fractional Brownian motion;
D O I：
10.1051/cocv/2011188
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
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.
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页码：915 / 929
页数：15
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