SDEs with constraints driven by processes with bounded p-variation
Probability
2015-05-07 v3
Abstract
We study the existence, uniqueness and approximation of solutions of stochastic differential equations with constraints driven by processes with bounded p-variation. Our main tool are new estimates showing Lipschitz continuity of the deterministic Skorokhod problem in p-variation norm. Applications to fractional SDEs with constraints are given.
Keywords
Cite
@article{arxiv.1405.3853,
title = {SDEs with constraints driven by processes with bounded p-variation},
author = {Adrian Falkowski and Leszek Slominski},
journal= {arXiv preprint arXiv:1405.3853},
year = {2015}
}
Comments
Final version. Accepted to Probability and Mathematical Statistics