Reflected rough differential equations
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Publication:491926
DOI10.1016/j.spa.2015.03.008zbMath1325.60083arXiv1311.6104OpenAlexW2074338760MaRDI QIDQ491926
Publication date: 19 August 2015
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1311.6104
Brownian motionSkorokhod equationreflected stochastic differential equationsreflected rough differential equationsrough path
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Stochastic analysis (60H99)
Related Items (15)
Strong solutions of stochastic differential equations with generalized drift and multidimensional fractional Brownian initial noise ⋮ Pathwise McKean-Vlasov theory with additive noise ⋮ SDEs with constraints driven by semimartingales and processes with bounded \(p\)-variation ⋮ SDEs with two reflecting barriers driven by semimartingales and processes with bounded \(p\)-variation ⋮ Perturbations of singular fractional SDEs ⋮ Rough paths and SPDE ⋮ Penalisation techniques for one-dimensional reflected rough differential equations ⋮ Wong-Zakai Approximation of Solutions to Reflecting Stochastic Differential Equations on Domains in Euclidean Spaces II ⋮ New directions in rough path theory. Abstracts from the workshop held December 6--12, 2020 (online meeting) ⋮ Càdlàg rough differential equations with reflecting barriers ⋮ The rates of the \(L^p\)-convergence of the Euler-Maruyama and Wong-Zakai approximations of path-dependent stochastic differential equations under the Lipschitz condition ⋮ One-dimensional reflected rough differential equations ⋮ Rough path metrics on a Besov–Nikolskii-type scale ⋮ Non-uniqueness for reflected rough differential equations ⋮ Sweeping processes perturbed by rough signals
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