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.
CITATION STYLE
Aida, S. (2024). Rough Differential Equations Containing Path-Dependent Bounded Variation Terms. Journal of Theoretical Probability. https://doi.org/10.1007/s10959-024-01319-3
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