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Pré-Publication, Document De Travail Année : 2019

Penalisation techniques for one-dimensional reflected rough differential equations

Résumé

In this paper we solve real-valued rough differential equations (RDEs) reflected on a moving boundary. The solution is approached by a sequence of rough differential equations with an unbounded drift whose intensity increases with n (the penalisation). Hence we also provide an existence theorem for RDEs with a drift growing at most linearly. In addition, a speed of convergence of the sequence of penalised process to the reflected process is provided in the smooth case.
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Dates et versions

hal-01982781 , version 1 (15-01-2019)
hal-01982781 , version 2 (26-04-2019)
hal-01982781 , version 3 (15-11-2019)
hal-01982781 , version 4 (12-03-2020)
hal-01982781 , version 5 (01-09-2020)

Identifiants

  • HAL Id : hal-01982781 , version 1

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Alexandre Richard, Etienne Tanré, Soledad Torres. Penalisation techniques for one-dimensional reflected rough differential equations. 2019. ⟨hal-01982781v1⟩
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