Rough stochastic differential equations

Peter K. Friz; Antoine Hocquet; Khoa Lê

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arXiv · 2106.10340

Rough stochastic differential equations

Peter K. Friz·Antoine Hocquet·Khoa Lê

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Abstract

We establish a simultaneous generalization of It\^o'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.

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Peter K. Friz, Antoine Hocquet, Khoa Lê. 2021-06-18. Rough stochastic differential equations. https://arxiv.org/abs/2106.10340

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