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SDEs with constraints driven by semimartingales and processes with bounded p-variation |
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| Authors: | Adrian Falkowski Leszek S?omiński |
| Institution: | Faculty of Mathematics and Computer Science, Nicolaus Copernicus University, ul. Chopina 12/18, 87-100 Toruń, Poland |
| Abstract: | We study the existence, uniqueness and stability of solutions of general stochastic differential equations with constraints driven by semimartingales and processes with bounded -variation. Applications to SDEs with constraints driven by fractional Brownian motion and standard Brownian motion are given. |
| Keywords: | primary 60H20 secondary 60G22 Stochastic differential equations with constraints Semimartingales Reflecting boundary condition |
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