Work

Rough Differential Equations Containing Path-Dependent Bounded Variation Terms

Year: 2024

Type: article

Abstract: We consider rough differential equations whose coefficients contain path-dependent bounded variation terms and prove the existence and a priori estimate of solutions. These equations include classical path-dependent stochastic differential equations containing running maximum processes and normal reflection terms. We apply these results to determine the topological support of the solution processes.

Source: Journal of Theoretical Probability

DOI: 10.1007/s10959-024-01319-3

Author: Shigeki Aida

Institution: The University of Tokyo

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,090

Funders: University of Tokyo, Japan Society for the Promotion of Science