Non-uniqueness for reflected rough differential equations

DOI10.1214/20-AIHP1121MaRDI QIDQ2077326zbMATH OpenWikidataFDO

Authors Paul Gassiat

Publication date 25 February 2022

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2001.11914

zbMATH Keywords

fractional Brownian motionrough differential equationsreflected differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Rough paths (60L20)

Abstract: We give an example of a reflected diffferential equation which may have infinitely many solutions if the driving signal is rough enough (e.g. of infinite $p$-variation, for some $p>2$). For this equation, we identify a sharp condition on the modulus of continuity of the signal under which uniqueness holds. L'evy's modulus for Brownian motion turns out to be a boundary case. We further show that in our example, non-uniqueness holds almost surely when the driving signal is a fractional Brownian motion with Hurst index $H<frac12$. The considered equation is driven by a two-dimensional signal with one component of bounded variation, so that rough path theory is not needed to make sense of the equation.

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Cites work

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Cited in

(9)

• The Neumann problem for fully nonlinear SPDE
• Reflected rough differential equations
• Perturbations of singular fractional SDEs
• One-dimensional reflected rough differential equations
• Rough differential equations containing path-dependent bounded variation terms
• On the rough Gronwall lemma and its applications
• Càdlàg rough differential equations with reflecting barriers
• Regularisation by fractional noise for one-dimensional differential equations with distributional drift
• Rough paths and SPDE

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