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تسجيل مستخدم جديدPenalisation techniques for one-dimensional reflected rough differential equations
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In this paper we solve real-valued rough differential equations (RDEs) reflected on an irregular boundary. The solution $Y$ is constructed as the limit of a sequence $(Y^n)_{ninmathbb{N}}$ of solutions to RDEs with unbounded drifts $(psi_n)_{ninmathbb{N}}$. The penalisation $psi_n$ increases with $n$. Along the way, we thus also provide an existence theorem and a Doss-Sussmann representation for RDEs with a drift growing at most linearly. In addition, a speed of convergence of the sequence of penalised paths to the reflected solution is obtained. We finally use the penalisation method to prove that the law at time $t>0$ of some reflected Gaussian RDE is absolutely contiuous with respect to the Lebesgue measure.
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