Penalisation techniques for one-dimensional reflected rough differential equations

Abstract : 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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https://hal.archives-ouvertes.fr/hal-01982781
Contributor : Alexandre Richard <>
Submitted on : Tuesday, January 15, 2019 - 11:08:59 PM
Last modification on : Friday, January 18, 2019 - 1:13:14 AM

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  • 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-01982781〉

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