Non-uniqueness for reflected rough differential equations

DOI10.1214/20-AIHP1121zbMath1480.60156arXiv2001.11914WikidataQ115240804 ScholiaQ115240804MaRDI QIDQ2077326

Paul Gassiat

Publication date: 25 February 2022

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2001.11914

zbMATH Keywords

fractional Brownian motionrough differential equationsreflected differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Rough paths (60L20)

Related Items (4)

Perturbations of singular fractional SDEs ⋮ Rough paths and SPDE ⋮ Regularisation by fractional noise for one-dimensional differential equations with distributional drift ⋮ Càdlàg rough differential equations with reflecting barriers

Cites Work

• Reflected rough differential equations
• Random perturbation of PDEs and fluid dynamic models. École d'Été de Probabilités de Saint-Flour XL -- 2010
• Stochastic differential equations for multi-dimensional domain with reflecting boundary
• Stochastic differential equations with reflecting boundary condition in convex regions
• Differential equations driven by rough signals
• Small values of Gaussian processes and functional laws of the iterated logarithm
• Smoothness of the law of the supremum of the fractional Brownian motion
• An introduction to analysis on Wiener space
• Penalisation techniques for one-dimensional reflected rough differential equations
• One-dimensional reflected rough differential equations
• SDEs with constraints driven by semimartingales and processes with bounded \(p\)-variation
• SDEs with constraints driven by processes with bounded p-variation
• Multidimensional Stochastic Processes as Rough Paths
• Stochastic differential equations with reflecting boundary conditions

This page was built for publication: Non-uniqueness for reflected rough differential equations