A Lévy area between Brownian motion and rough paths with applications to robust nonlinear filtering and rough partial differential equations

DOI10.1016/j.spa.2014.08.005zbMath1304.60065arXiv1301.3799OpenAlexW1978350574MaRDI QIDQ468732

Harald Oberhauser, Sebastian Riedel, Joscha Diehl

Publication date: 7 November 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.3799

zbMATH Keywords

Clark's robustness problem in nonlinear filteringexistence of path integralsintegrability of rough differential equations with Gaussian signalsviscosity solutions of RPDEs

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Sample path properties (60G17) Stochastic integrals (60H05)

Related Items (17)

Averaging principle for fast-slow system driven by mixed fractional Brownian rough path ⋮ The Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory ⋮ Scalar conservation laws with rough flux and stochastic forcing ⋮ Optimal extension to Sobolev rough paths ⋮ Solving linear parabolic rough partial differential equations ⋮ Rough semimartingales and \(p\)-variation estimates for martingale transforms ⋮ Convergence of trapezoid rule to rough integrals ⋮ Stochastic partial differential equations: a rough paths view on weak solutions via Feynman–Kac ⋮ Regularity Theory for Rough Partial Differential Equations and Parabolic Comparison Revisited ⋮ Fully nonlinear stochastic and rough PDEs: classical and viscosity solutions ⋮ New directions in rough path theory. Abstracts from the workshop held December 6--12, 2020 (online meeting) ⋮ Rough nonlocal diffusions ⋮ Generalized Burgers equation with rough transport noise ⋮ Kusuoka-Stroock gradient bounds for the solution of the filtering equation ⋮ Existence, uniqueness and stability of semi-linear rough partial differential equations ⋮ Pathwise Itô calculus for rough paths and rough PDEs with path dependent coefficients ⋮ Backward stochastic differential equations with Young drift

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