caa a22 4500 605519544 CHVBK 20210128100731.0 cr unu---uuuuu 210128e20150301xx s 000 0 eng 10.1007/s11009-013-9336-9 doi (NATIONALLICENCE)springer-10.1007/s11009-013-9336-9 Stochastic Viability and Comparison Theorems for Mixed Stochastic Differential Equations [Elektronische Daten] [Alexander Melnikov, Yuliya Mishura, Georgiy Shevchenko] For a mixed stochastic differential equation containing both Wiener process and a Hölder continuous process with exponent γ > 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. Springer Science+Business Media New York, 2013 Mixed stochastic differential equation nationallicence Pathwise integral nationallicence Stochastic viability nationallicence Comparison theorem nationallicence Long-range dependence nationallicence fractional Brownian motion nationallicence Stochastic differential equation with random drift nationallicence Melnikov Alexander Department of Mathematical and Statistical Sciences, University of Alberta, 632 Central Academic Building, T6G 2G1, Edmonton, AB, Canada aut Mishura Yuliya Faculty of Mechanics and Mathematics, Department of Probability, Statistics and Actuarial Mathematics, Kyiv National Taras Shevchenko University, Volodymyrska 64, 01601, Kyiv, Ukraine aut Shevchenko Georgiy Faculty of Mechanics and Mathematics, Department of Probability, Statistics and Actuarial Mathematics, Kyiv National Taras Shevchenko University, Volodymyrska 64, 01601, Kyiv, Ukraine aut Methodology and Computing in Applied Probability Springer US; http://www.springer-ny.com 17/1(2015-03-01), 169-188 1387-5841 17:1<169 2015 17 11009 https://doi.org/10.1007/s11009-013-9336-9 text/html Onlinezugriff via DOI BK010053 XK010053 XK010000 Metadata rights reserved Springer special CC-BY-NC licence nationallicence 1 research-article jats NATIONALLICENCE NATIONALLICENCE NL-springer NATIONALLICENCE 856 40 https://doi.org/10.1007/s11009-013-9336-9 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Melnikov Alexander Department of Mathematical and Statistical Sciences, University of Alberta, 632 Central Academic Building, T6G 2G1, Edmonton, AB, Canada aut NATIONALLICENCE 700 1- Mishura Yuliya Faculty of Mechanics and Mathematics, Department of Probability, Statistics and Actuarial Mathematics, Kyiv National Taras Shevchenko University, Volodymyrska 64, 01601, Kyiv, Ukraine aut NATIONALLICENCE 700 1- Shevchenko Georgiy Faculty of Mechanics and Mathematics, Department of Probability, Statistics and Actuarial Mathematics, Kyiv National Taras Shevchenko University, Volodymyrska 64, 01601, Kyiv, Ukraine aut NATIONALLICENCE 773 0- Methodology and Computing in Applied Probability Springer US; http://www.springer-ny.com 17/1(2015-03-01), 169-188 1387-5841 17:1<169 2015 17 11009