包含路径依赖性有界变量项的粗糙微分方程

IF 0.8 4区 数学 Q3 STATISTICS & PROBABILITY
Shigeki Aida
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引用次数: 0

摘要

我们考虑了系数包含路径依赖有界变化项的粗糙微分方程,并证明了解的存在性和先验估计。这些方程包括包含运行最大值过程和法向反射项的经典路径依赖随机微分方程。我们应用这些结果来确定解过程的拓扑支持。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Rough Differential Equations Containing Path-Dependent Bounded Variation Terms

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.

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来源期刊
Journal of Theoretical Probability
Journal of Theoretical Probability 数学-统计学与概率论
CiteScore
1.50
自引率
12.50%
发文量
65
审稿时长
6-12 weeks
期刊介绍: Journal of Theoretical Probability publishes high-quality, original papers in all areas of probability theory, including probability on semigroups, groups, vector spaces, other abstract structures, and random matrices. This multidisciplinary quarterly provides mathematicians and researchers in physics, engineering, statistics, financial mathematics, and computer science with a peer-reviewed forum for the exchange of vital ideas in the field of theoretical probability.
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