SDEs with constraints driven by semimartingales and processes with bounded p-variation

DOI10.1016/J.SPA.2017.03.003MaRDI QIDQ2408995zbMATH OpenOpenAlexWikidataFDO

Authors Adrian Falkowski, Leszek Slominski

Publication date 10 October 2017

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

Full work available at URL https://doi.org/10.1016/j.spa.2017.03.003

zbMATH Keywords

\(p\)-variationreflecting boundary conditionsemimartingalesstochastic differential equations with constraints

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic integral equations (60H20)

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Cited in

(7)

• Non-uniqueness for reflected rough differential equations
• Mean reflected stochastic differential equations with two constraints
• Càdlàg rough differential equations with reflecting barriers
• SDEs with two reflecting barriers driven by semimartingales and processes with bounded \(p\)-variation
• Stochastic differential equations with constraints driven by processes with bounded p-variation
• Stochastic differential equations with a convex constraint
• SDEs with two reflecting barriers driven by optional processes with regulated trajectories

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