Reflected rough differential equations

Shigeki Aida

Stochastic Processes and their Applications, 2015, vol. 125, issue 9, 3570-3595

Abstract: 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.

Keywords: Reflected stochastic differential equation; Rough path; Skorohod equation (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (7)

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DOI: 10.1016/j.spa.2015.03.008

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