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WROCŁAW UNIVERSITY
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Contents of PMS, Vol. 35, Fasc. 2,
pages 343 - 365
 

STOCHASTIC DIFFERENTIAL EQUATIONS WITH CONSTRAINTS DRIVEN BY PROCESSES WITH BOUNDED p -VARIATION

Adrian Falkowski
Leszek Słomiński

Abstract: We study the existence, uniqueness and approximation of solutions of stochastic differential equations with constraints driven by processes with bounded p -variation. Our main tool are new estimates showing Lipschitz continuity of the deterministic Skorokhod problem in p -variation norm. Applications to fractional SDEs with constraints are given.

2000 AMS Mathematics Subject Classification: Primary: 60H20; Secondary: 60G22.

Keywords and phrases: Skorokhod problem, p -variation, integral equations, stochastic differential equations with constraints, reflecting boundary condition.

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