SDEs with constraints driven by processes with bounded p-variation
arXiv:1405.3853
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.
Final version. Accepted to Probability and Mathematical Statistics