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20172023
most citedNumerical approximation of SDEs with fractional noise and distributional drift

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math.PR2019

Penalisation techniques for one-dimensional reflected rough differential equations

Alexandre Richard, Etienne Tanré, Soledad Torres

In this paper we solve real-valued rough differential equations (RDEs) reflected on an irregular boundary. The solution is constructed as the limit of a sequence $(Y^n)_{n\in\m…