One-dimensional reflected rough differential equations
Probability
2016-10-25 v1
Abstract
We prove existence and uniqueness of the solution of a one-dimensional rough differential equation driven by a step-2 rough path and reflected at zero. In order to deal with the lack of control of the reflection measure the proof uses some ideas we introduced in a previous work dealing with rough kinetic PDEs [arXiv:1604.00437].
Keywords
Cite
@article{arxiv.1610.07481,
title = {One-dimensional reflected rough differential equations},
author = {Aurelien Deya and Massimiliano Gubinelli and Martina Hofmanova and Samy Tindel},
journal= {arXiv preprint arXiv:1610.07481},
year = {2016}
}