Reflected rough differential equations

DOI10.1016/J.SPA.2015.03.008MaRDI QIDQ491926zbMATH OpenOpenAlexFDO

Authors Shigeki Aida

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

zbMATH Keywords

Brownian motionreflected stochastic differential equationsreflected rough differential equationsrough pathSkorokhod equation

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic analysis (60H99)

Abstract: In this paper, we study reflected differential equations driven by continuous paths with finite $p$-variation ($1lep<2$) and $p$-rough paths ($2lep<3$) on domains in Euclidean spaces whose boundaries may not be smooth. We define reflected rough differential equations and prove the existence of a solution. Also we discuss the relation between the solution to reflected stochastic differential equation and reflected rough differential equation when the driving process is a Brownian motion.

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Cited in

(19)

• SDEs with two reflecting barriers driven by semimartingales and processes with bounded \(p\)-variation
• New directions in rough path theory. Abstracts from the workshop held December 6--12, 2020 (online meeting)
• Rough path metrics on a Besov-Nikolskii-type scale
• Perturbations of singular fractional SDEs
• SDEs with constraints driven by semimartingales and processes with bounded \(p\)-variation
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• Wong-Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces. II
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• Penalisation techniques for one-dimensional reflected rough differential equations
• Rough differential equations containing path-dependent bounded variation terms
• Rough differential equations driven by signals in Besov spaces
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• Càdlàg rough differential equations with reflecting barriers
• Strong solutions of stochastic differential equations with generalized drift and multidimensional fractional Brownian initial noise
• 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 paths and SPDE
• Sweeping processes perturbed by rough signals

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