SDEs with constraints driven by semimartingales and processes with bounded p-variation

Adrian Falkowski and Leszek Słomiński

Stochastic Processes and their Applications, 2017, vol. 127, issue 11, 3536-3557

Abstract: We study the existence, uniqueness and stability of solutions of general stochastic differential equations with constraints driven by semimartingales and processes with bounded p-variation. Applications to SDEs with constraints driven by fractional Brownian motion and standard Brownian motion are given.

Keywords: Stochastic differential equations with constraints; Semimartingales; p-variation; Reflecting boundary condition (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:127:y:2017:i:11:p:3536-3557

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DOI: 10.1016/j.spa.2017.03.003

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