Existence of strong solutions for one-dimensional reflected mixed stochastic delay differential equations

Abstract

Abstract Relying on the pathwise uniqueness property, we prove existence of the strong solution of a one-dimensional reflected stochastic delay equation driven by a mixture of independent Brownian and fractional Brownian motions. The difficulty is that on the one hand we cannot use the fixed-point and contraction mapping methods because of the stochastic and pathwise integrals, and on the other hand the non-continuity of the Skorokhod map with respect to the norms considered.