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arXiv · 1407.2768

The inverse problem for rough controlled differential equations

I. Bailleul·J. Diehl
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Abstract

We provide a necessary and sufficient condition for a rough control driving a differential equation to be reconstructable, to some order, from observing the resulting controlled evolution. Physical examples and applications in stochastic filtering and statistics demonstrate the practical relevance of our result.

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I. Bailleul, J. Diehl. 2014-07-10. The inverse problem for rough controlled differential equations. https://arxiv.org/abs/1407.2768

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