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.
Type de document :
Pré-publication, Document de travail
2019
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https://hal.archives-ouvertes.fr/hal-01982781
Contributeur : Alexandre Richard <>
Soumis le : mardi 15 janvier 2019 - 23:08:59
Dernière modification le : vendredi 18 janvier 2019 - 01:13:14

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RRDE_prelim.pdf
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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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