Penalisation techniques for one-dimensional reflected rough differential equations
From MaRDI portal
Publication:2203628
DOI10.3150/20-BEJ1212zbMath1482.60130arXiv1904.11447OpenAlexW3102061609WikidataQ115223035 ScholiaQ115223035MaRDI QIDQ2203628
Soledad Torres, Alexandre Richard, Etienne Tanré
Publication date: 7 October 2020
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1904.11447
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic processes (60G99) Rough paths (60L20)
Related Items
Regularisation by fractional noise for one-dimensional differential equations with distributional drift ⋮ Càdlàg rough differential equations with reflecting barriers ⋮ Non-uniqueness for reflected rough differential equations
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Rough differential equations with unbounded drift term
- Integrability and tail estimates for Gaussian rough differential equations
- Stochastic differential equations with nonnegativity constraints driven by fractional Brownian motion
- Smoothness of the density for solutions to Gaussian rough differential equations
- Reflected rough differential equations
- Rough path limits of the Wong-Zakai type with a modified drift term
- On rough differential equations
- On the gap between deterministic and stochastic ordinary differential equations
- Differential equations driven by rough signals
- Quasilinear stochastic elliptic equations with reflection: The existence of a density
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- A priori estimates for rough PDEs with application to rough conservation laws
- Controlling rough paths
- Weak and strong approximations of reflected diffusions via penalization methods
- One-dimensional reflected rough differential equations
- General rough integration, Lévy rough paths and a Lévy-Kintchine-type formula
- A. Skorohod's stochastic integral equation for a reflecting barrier diffusion
- SDEs with constraints driven by processes with bounded p-variation
- Global Solutions to Rough Differential Equations with Unbounded Vector Fields
- The Malliavin Calculus and Related Topics
- Multidimensional Stochastic Processes as Rough Paths
- Differential Equations Driven by Rough Paths: An Approach via Discrete Approximation
- Stochastic differential equations with reflecting boundary conditions
- A course on rough paths. With an introduction to regularity structures
