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Date
2020-08-03Type
- Working Paper
ETH Bibliography
yes
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Abstract
We investigate rough differential equations with a time-dependent reflecting lower barrier, where both the driving (rough) path and the barrier itself may have jumps. Assuming the driving signals allow for Young integration, we provide existence, uniqueness and stability results. When the driving signal is a càdlàg p-rough path for p∈[2,3), we establish existence to general reflected rough differential equations, as well as uniqueness in the one-dimensional case. Show more
Publication status
publishedExternal links
Journal / series
arXivPages / Article No.
Publisher
Cornell UniversitySubject
p-variation; Rough path; Rough differential equation; Reflecting barrier; Skorokhod problem; Young integrationOrganisational unit
03658 - Schweizer, Martin / Schweizer, Martin
Related publications and datasets
Is part of: https://doi.org/10.3929/ethz-b-000504434
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ETH Bibliography
yes
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