# Deterministic characterization of viability for stochastic differential equation driven by fractional brownian motion

ESAIM: Control, Optimisation and Calculus of Variations (2012)

- Volume: 18, Issue: 4, page 915-929
- ISSN: 1292-8119

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topNie, Tianyang, and Răşcanu, Aurel. "Deterministic characterization of viability for stochastic differential equation driven by fractional brownian motion." ESAIM: Control, Optimisation and Calculus of Variations 18.4 (2012): 915-929. <http://eudml.org/doc/272866>.

@article{Nie2012,

abstract = {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.},

author = {Nie, Tianyang, Răşcanu, Aurel},

journal = {ESAIM: Control, Optimisation and Calculus of Variations},

keywords = {stochastic viability; stochastic differential equation; stochastic tangent set; fractional brownian motion; fractional Brownian motion},

language = {eng},

number = {4},

pages = {915-929},

publisher = {EDP-Sciences},

title = {Deterministic characterization of viability for stochastic differential equation driven by fractional brownian motion},

url = {http://eudml.org/doc/272866},

volume = {18},

year = {2012},

}

TY - JOUR

AU - Nie, Tianyang

AU - Răşcanu, Aurel

TI - Deterministic characterization of viability for stochastic differential equation driven by fractional brownian motion

JO - ESAIM: Control, Optimisation and Calculus of Variations

PY - 2012

PB - EDP-Sciences

VL - 18

IS - 4

SP - 915

EP - 929

AB - 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.

LA - eng

KW - stochastic viability; stochastic differential equation; stochastic tangent set; fractional brownian motion; fractional Brownian motion

UR - http://eudml.org/doc/272866

ER -

## References

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