Reflected rough differential equations

被引：16

作者：

Aida, Shigeki ^{[1
]}

机构：

[1] Tohoku Univ, Math Inst, Sendai, Miyagi 9808578, Japan

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2015年 / 125卷 / 09期

关键词：

Reflected stochastic differential equation; Rough path; Skorohod equation; WONG-ZAKAI APPROXIMATIONS; BOUNDARY-CONDITIONS; DRIVEN; SDES; SUPPORT; SIGNALS; DOMAIN;

D O I：

10.1016/j.spa.2015.03.008

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we study reflected differential equations driven by continuous paths with finite p-variation (1 <= p < 2) and p-rough paths (2 <= p < 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. (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：3570 / 3595

页数：26

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