SDEs with constraints driven by processes with bounded p-variation
classification
🧮 math.PR
keywords
constraintsp-variationboundeddrivenprocessessdesapplicationsapproximation
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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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