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Sweeping Processes Perturbed by Rough Signals
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Sweeping Processes Perturbed by Rough Signals

Charles Castaing, Nicolas Marie and Paul Raynaud de Fitte
Séminaire de Probabilités LI, Vol.Lecture Notes in Mathematics 2301, pp.303-339
2022

Abstract

Approximation scheme Fractional Brownian motion Rough differential equations Rough paths Skorokhod reflection problems Stochastic differential equations Sweeping processes
This paper deals with the existence, the uniqueness and an approximation scheme of the solution to sweeping processes perturbed by a continuous signal of finite $p$-variation with $p\in [1,3[$. It covers pathwise stochastic noises directed by a fractional Brownian motion of Hurst parameter greater than $1/3$.
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