Rough stochastic differential equations
Fuente:
arXiv
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| Autori principali: | , , |
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| Natura: | Preprint |
| Pubblicazione: |
2021
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| Soggetti: | |
| Accesso online: | |
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| _version_ | 1866918236851798016 |
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| author | Friz, Peter K. Hocquet, Antoine Lê, Khoa |
| author_facet | Friz, Peter K. Hocquet, Antoine Lê, Khoa |
| contents | We establish a simultaneous generalization of Itô's theory of stochastic and Lyons' theory of rough differential equations. The interest in such a unification comes from a variety of applications, including pathwise stochastic filtering, - control and the conditional analysis of stochastic systems with common noise. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2106_10340 |
| institution | arXiv |
| publishDate | 2021 |
| record_format | arxiv |
| spellingShingle | Rough stochastic differential equations Friz, Peter K. Hocquet, Antoine Lê, Khoa Probability 60L20, 60H10 We establish a simultaneous generalization of Itô's theory of stochastic and Lyons' theory of rough differential equations. The interest in such a unification comes from a variety of applications, including pathwise stochastic filtering, - control and the conditional analysis of stochastic systems with common noise. |
| title | Rough stochastic differential equations |
| topic | Probability 60L20, 60H10 |
| url | https://arxiv.org/abs/2106.10340 |