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

We give meaning to differential equations with a rough path term and a Brownian noise term and study their regularity, that is we are interested in equations of the type S t η = S 0 + ∫ 0 t a(S r η )dr + ∫ 0 t b(S r η ) ○ d B r + ∫ 0 t c(S r η ) dη r where η is a deterministic geometric, step-2 roug...

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Detaylı Bibliyografya
Asıl Yazarlar: Diehl, J, Oberhauser, H, Riedel, S
Materyal Türü: Journal article
Baskı/Yayın Bilgisi: Elsevier 2014