Stochastic differential equations with constraints driven by processes with bounded p-variation

• Autorzy: Falkowski A. , Słomiński L.
• Języki publikacji: EN

Abstrakty

EN

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.

Słowa kluczowe

EN

Skorokhod problem; p-variation; integral equations; stochastic differential equations with constraints; reflecting boundary condition

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2015
• Tom: Vol. 35, Fasc. 2
• Strony: 343--365
• Opis fizyczny: Bibliogr. 34 poz.

Twórcy

autor

Falkowski A.

• Faculty of Mathematics and Computer Science, Nicolaus Copernicus University, ul. Chopina 12/18, 87-100 Toruń, Poland

autor

Słomiński L.

• Faculty of Mathematics and Computer Science, Nicolaus Copernicus University, ul. Chopina 12/18, 87-100 Toruń, Poland

Bibliografia

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Uwagi

Opracowanie rekordu w ramach umowy 509/P-DUN/2018 ze środków MNiSW przeznaczonych na działalność upowszechniającą naukę (2019).