Rough differential equations containing path-dependent bounded variation terms

DOI10.1007/S10959-024-01319-3arXiv1608.03083MaRDI QIDQ6507441FDOQ6507441

Abstract: We consider rough differential equations whose coefficients contain path-dependent bounded variation terms and prove the existence and a priori estimate of solutions. These equations include classical path-dependent SDEs containing running maximum processes and normal reflection terms. We apply these results to determine the topological support of the solution processes.

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Stochastic integral equations (60H20)

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