One-dimensional reflected rough differential equations

DOI10.1016/J.SPA.2018.09.007MaRDI QIDQ2274299zbMATHOpenAlexFDO

Authors A. Deya, Martina Hofmanová, S. Tindel, Massimiliano Gubinelli

Publication date 19 September 2019

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1610.07481

zbMATH Keywords

reflected rough differential equations

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Rough partial differential equations (60L50)

Abstract: We prove existence and uniqueness of the solution of a one-dimensional rough differential equation driven by a step-2 rough path and reflected at zero. In order to deal with the lack of control of the reflection measure the proof uses some ideas we introduced in a previous work dealing with rough kinetic PDEs [arXiv:1604.00437].

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Cited in

(18)

• An energy method for rough partial differential equations
• Rough differential equations with path-dependent coefficients
• New directions in rough path theory. Abstracts from the workshop held December 6--12, 2020 (online meeting)
• Reflected rough differential equations
• On the Navier-Stokes equation perturbed by rough transport noise
• Perturbations of singular fractional SDEs
• Rough nonlocal diffusions
• A McKean-Vlasov SDE and particle system with interaction from reflecting boundaries
• Pathwise McKean-Vlasov theory with additive noise
• Bilinear equations in Hilbert space driven by paths of low regularity
• Non-uniqueness for reflected rough differential equations
• Penalisation techniques for 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
• Reflecting thoughts
• Sweeping processes perturbed by rough signals

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