English

Perturbations of singular fractional SDEs

Probability 2023-04-07 v2

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 pp-variation for maps of Skorokhod type, due to Falkowski and S{\l}ominski. An important step requires to prove that fractional Brownian motion, when perturbed by sufficiently regular paths (in the sense of pp-variation), retains its regularization properties. This is done by applying a variant of the stochastic sewing lemma.

Keywords

Cite

@article{arxiv.2208.01961,
  title  = {Perturbations of singular fractional SDEs},
  author = {Paul Gassiat and Łukasz Mądry},
  journal= {arXiv preprint arXiv:2208.01961},
  year   = {2023}
}

Comments

accepted in SPA