Stochastic Viability and Comparison Theorems for Mixed Stochastic Differential Equations

摘要

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.