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

  1. Adrian Falkowski
  2. Leszek Słomiński

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.

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Probability and Mathematical Statistics

35, z. 2, 2015

Pages from 343 to 365

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