Rough differential equations containing path-dependent bounded variation terms
Probability
2024-03-12 v6
Abstract
We consider rough differential equations whose coefficients contain path-dependent bounded variation terms and prove the existence and a priori estimate of solutions. These equations include classical path-dependent SDEs containing running maximum processes and normal reflection terms. We apply these results to determine the topological support of the solution processes.
Keywords
Cite
@article{arxiv.1608.03083,
title = {Rough differential equations containing path-dependent bounded variation terms},
author = {Shigeki Aida},
journal= {arXiv preprint arXiv:1608.03083},
year = {2024}
}
Comments
This version is accepted for publication in Journal of Theoretical Probability. In this version, we add new subjects related with perturbed reflected RDE. Also we rewrite many parts