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Mathematics > Probability

arXiv:1405.3853 (math)
[Submitted on 15 May 2014 (v1), last revised 6 May 2015 (this version, v3)]

Title:SDEs with constraints driven by processes with bounded p-variation

Authors:Adrian Falkowski, Leszek Slominski
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Abstract: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.
Comments: Final version. Accepted to Probability and Mathematical Statistics
Subjects: Probability (math.PR)
MSC classes: Primary: 60H20, Secondary: 60G22
Cite as: arXiv:1405.3853 [math.PR]
  (or arXiv:1405.3853v3 [math.PR] for this version)
  https://doi.org/10.48550/arXiv.1405.3853

Submission history

From: Leszek Słomiński [view email]
[v1] Thu, 15 May 2014 13:52:26 UTC (20 KB)
[v2] Sat, 27 Sep 2014 11:44:10 UTC (17 KB)
[v3] Wed, 6 May 2015 10:20:46 UTC (17 KB)
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