Rough differential equations containing path-dependent bounded variation terms
From MaRDI portal
Publication:6592136
DOI10.1007/S10959-024-01319-3MaRDI QIDQ6592136FDOQ6592136
Publication date: 24 August 2024
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
running maximumrough pathreflected stochastic differential equationSkorohod equationcontrolled pathpath-dependent rough differential equation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20) Rough paths (60L20)
Cites Work
- Real Analysis and Probability
- Stochastic differential equations with reflecting boundary condition in convex regions
- Stochastic differential equations with reflecting boundary conditions
- On lipschitz continuity of the solution mapping to the skorokhod problem, with applications
- Differential equations driven by rough signals
- Controlling rough paths
- Normal approximations with Malliavin calculus. From Stein's method to universality
- Multidimensional Stochastic Processes as Rough Paths
- Differential Equations Driven by Rough Paths: An Approach via Discrete Approximation
- System Control and Rough Paths
- Wong-Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces
- Strong convergence of Wong-Zakai approximations of reflected SDEs in a multidimensional general domain
- Brownian motion and random walk perturbed at extrema
- Pathwise uniqueness for perturbed versions of Brownian motion and reflected Brownian motion
- Perturbed Brownian motions
- Perturbed Skorohod equations and perturbed reflected diffusion processes
- Enlacements du Mouvement Brownien Autour Des Courbes de L'Espace
- Beta Variables as Times Spent in [0, ∞[ By Certain Perturbed Brownian Motions
- Absolute continuity of the laws of perturbed diffusion processes and perturbed reflected diffusion processes
- Flows driven by rough paths
- Large deviations and support theorem for diffusion processes via rough paths.
- Stochastic differential equations with nonnegativity constraints driven by fractional Brownian motion
- Stochastic differential equations for multi-dimensional domain with reflecting boundary
- Small Random perturbation of dynamical systems with reflecting boundary
- Reflected rough differential equations
- Wong-zaksi approximations for reflecting stochastic differential equations
- An approximation scheme for reflected stochastic differential equations
- Weak limits of perturbed random walks and the equation \(Y_ t = B_ t+\alpha\sup\{Y_ s:s \leq t\} + \beta\inf\{Y_ s:s\leq t\}\)
- Support d'un processus de r�flexion
- Wong-Zakai Approximation of Solutions to Reflecting Stochastic Differential Equations on Domains in Euclidean Spaces II
- On approximate continuity and the support of reflected stochastic differential equations
- Stochastic differential equations with constraints driven by processes with bounded \(p\)-variation
- 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
- Rough path metrics on a Besov–Nikolskii-type scale
- One-dimensional reflected rough differential equations
- A course on rough paths. With an introduction to regularity structures
- Non-uniqueness for reflected rough differential equations
This page was built for publication: Rough differential equations containing path-dependent bounded variation terms
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6592136)