Perturbations of singular fractional SDEs

Paul Gassiat and Łukasz Mądry

Stochastic Processes and their Applications, 2023, vol. 161, issue C, 137-172

Abstract: We obtain well-posedness results for a class of ODE with a singular drift and additive fractional noise, whose right-hand-side involves some bounded variation terms depending on the solution. Examples of such equations are reflected equations, where the solution is constrained to remain in a rectangular domain, as well as so-called perturbed equations, where the dynamics depend on the running extrema of the solution. Our proof is based on combining the Catellier–Gubinelli approach based on Young nonlinear integration, with some Lipschitz estimates in p-variation for maps of Skorokhod type, due to Falkowski and Słominski. An important step requires to prove that fractional Brownian motion, when perturbed by sufficiently regular paths (in the sense of p-variation), retains its regularization properties. This is done by applying a variant of the stochastic sewing lemma.

Date: 2023
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DOI: 10.1016/j.spa.2023.04.004

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