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math.PR2020
Càdlàg Rough Differential Equations with Reflecting Barriers
Andrew L. Allan, Chong Liu, David J. Prömel
We investigate rough differential equations with a time-dependent reflecting lower barrier, where both the driving (rough) path and the barrier itself may have jumps. Assuming the…
math.PR2020★ 8 cited
Local times and Tanaka--Meyer formulae for càdlàg paths
Rafał M. Łochowski, Jan Obłój, David J. Prömel +1
Three concepts of local times for deterministic c{à}dl{à}g paths are developed and the corresponding pathwise Tanaka--Meyer formulae are provided. For semimartingales, it is shown…