Stochastic viability and comparison theorems for mixed stochastic differential equations

Abstract

For a mixed stochastic differential equation containing both Wiener process and a Hölder 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.

References in corpus (1)

• No arbitrage without semimartingales