Sandwiched SDEs with unbounded drift driven by Hölder noises

Giulia Di Nunno, Yuliya Mishura, Anton Yurchenko-Tytarenko

备注：: 33 pages, 5 figures

英文摘要：

We study a stochastic differential equation with an unbounded drift and general Hölder continuous noise of an arbitrary order. 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 additional assumptions on the noise, we prove that the solution has moments of all orders. We complete the study providing a numerical scheme for the solution. As an illustration of our results and motivation for applications, we suggest two stochastic volatility models which we regard as generalizations of the CIR and CEV processes.

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