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• W3126893306 startingPage "927" @default.
• W3126893306 abstract "Abstract We study a stochastic differential equation with an unbounded drift and general Hölder continuous noise of order $lambda in (0,1)$ . The corresponding equation turns out to have a unique solution that, depending on a particular shape of the drift, either stays above some continuous function or has continuous upper and lower bounds. Under some mild assumptions on the noise, we prove that the solution has moments of all orders. In addition, we provide its connection to the solution of some Skorokhod reflection problem. As an illustration of our results and motivation for applications, we also suggest two stochastic volatility models which we regard as generalizations of the CIR and CEV processes. We complete the study by providing a numerical scheme for the solution." @default.
• W3126893306 created "2021-02-15" @default.
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• W3126893306 date "2023-03-08" @default.
• W3126893306 modified "2023-10-16" @default.
• W3126893306 title "Sandwiched SDEs with unbounded drift driven by Hölder noises" @default.
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• W3126893306 doi "https://doi.org/10.1017/apr.2022.56" @default.
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