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One-dimensional reflected rough differential equations
Authors:Aurélien Deya  Massimiliano Gubinelli  Martina Hofmanová  Samy Tindel
Abstract:
We prove existence and uniqueness of the solution of a one-dimensional rough differential equation driven by a step-2 rough path and reflected at zero. The whole difficulty of the problem (at least as far as uniqueness is concerned) lies in the non-continuity of the Skorohod map with respect to the topologies under consideration in the rough case. Our argument to overcome this obstacle is inspired by some ideas we introduced in a previous work dealing with rough kinetic PDEs arXiv:1604.00437.
Keywords:Corresponding author.
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