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...
| Main Authors: | , , |
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| Format: | Journal article |
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Elsevier
2014
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