One-dimensional reflected rough differential equations

Aurelien Deya, Massimiliano Gubinelli, Martina Hofmanova and Samy Tindel

First issued 24 October 2016 · PDF

Abstract

We prove existence and uniqueness of the solution of a one-dimensional rough differential equation driven by a step-2 rough path and reflected at zero. In order to deal with the lack of control of the reflection measure the proof uses some ideas we introduced in a previous work dealing with rough kinetic PDEs [arXiv:1604.00437].

Versions

1. Version 1 (arXiv v1) current
   24 October 2016
   PDF · LaTeX source · files and digests · arXiv:1610.07481

Cite

Aurelien Deya, Massimiliano Gubinelli, Martina Hofmanova and Samy Tindel. One-dimensional reflected rough differential equations. Papers of Massimiliano Gubinelli, 2016, version 1. https://mgubi.org/papers/paper/reflected-rough-equations/

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