Perturbations of singular fractional SDEs

TL;DR

This paper establishes well-posedness for a class of singular fractional SDEs with bounded variation terms, extending the understanding of reflected and perturbed equations driven by fractional Brownian motion.

Contribution

It introduces a novel combination of Young integration and Lipschitz estimates to handle singular fractional SDEs with complex boundary conditions.

Findings

Proves well-posedness for singular fractional SDEs with bounded variation terms.

Shows fractional Brownian motion retains regularization properties under certain perturbations.

Extends techniques to reflected and extremum-dependent equations.

Abstract

We obtain well-posedness results for a class of ODE with a singular drift and additive fractional noise, whose right-hand-side involves some bounded variation terms depending on the solution. Examples of such equations are reflected equations, where the solution is constrained to remain in a rectangular domain, as well as so-called perturbed equations, where the dynamics depend on the running extrema of the solution. Our proof is based on combining the Catellier-Gubinelli approach based on Young nonlinear integration, with some Lipschitz estimates in $p$-variation for maps of Skorokhod type, due to Falkowski and S{\l}ominski. An important step requires to prove that fractional Brownian motion, when perturbed by sufficiently regular paths (in the sense of $p$-variation), retains its regularization properties. This is done by applying a variant of the stochastic sewing lemma.