Rough differential equations containing path-dependent bounded variation terms
Fuente:
arXiv
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| Autore principale: | |
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| Natura: | Preprint |
| Pubblicazione: |
2016
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| Accesso online: | |
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| _version_ | 1866913258649157632 |
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| author | Aida, Shigeki |
| author_facet | Aida, Shigeki |
| contents | We consider rough differential equations whose coefficients contain path-dependent bounded variation terms and prove the existence and a priori estimate of solutions. These equations include classical path-dependent SDEs containing running maximum processes and normal reflection terms. We apply these results to determine the topological support of the solution processes. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1608_03083 |
| institution | arXiv |
| publishDate | 2016 |
| record_format | arxiv |
| spellingShingle | Rough differential equations containing path-dependent bounded variation terms Aida, Shigeki Probability 60H10, 60H20, 60H35, 34F05 We consider rough differential equations whose coefficients contain path-dependent bounded variation terms and prove the existence and a priori estimate of solutions. These equations include classical path-dependent SDEs containing running maximum processes and normal reflection terms. We apply these results to determine the topological support of the solution processes. |
| title | Rough differential equations containing path-dependent bounded variation terms |
| topic | Probability 60H10, 60H20, 60H35, 34F05 |
| url | https://arxiv.org/abs/1608.03083 |