Czasopisma Naukowe w Sieci (CNS)

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.

Pobierz artykuł

Ten artykuł

Probability and Mathematical Statistics

35, z. 2, 2015

Strony od 343 do 365

Inne artykuły autorów

Google Scholar

zamknij

Twoj koszyk (produkty: 0)

Brak produktów w koszyku

Twój koszyk Do kasy