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

Tianyang Nie, Aurel Răşcanu (2012)

ESAIM: Control, Optimisation and Calculus of Variations

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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