{
  "id": "1211.1814",
  "version": "v1",
  "published": "2012-11-08T10:15:35.000Z",
  "updated": "2012-11-08T10:15:35.000Z",
  "title": "Stochastic viability and comparison theorems for mixed stochastic differential equations",
  "authors": [
    "Alexander Melnikov",
    "Yuliya Mishura",
    "Georgiy Shevchenko"
  ],
  "doi": "10.1007/s11009-013-9336-9",
  "categories": [
    "math.PR"
  ],
  "abstract": "For a mixed stochastic differential equation containing both Wiener process and a H\\\"older continuous process with exponent $\\gamma>1/2$, we prove a stochastic viability theorem. As a consequence, we get a result about positivity of solution and a pathwise comparison theorem. An application to option price estimation is given.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2012-11-08T10:15:35.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60G22",
      "60G15",
      "60H10",
      "26A33"
    ],
    "keywords": [
      "comparison theorem",
      "option price estimation",
      "stochastic viability theorem",
      "mixed stochastic differential equation containing"
    ],
    "tags": [
      "journal article"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2012arXiv1211.1814M"
    }
  }
}