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

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...

Bibliografski detalji
Glavni autori:	Diehl, J, Oberhauser, H, Riedel, S
Format:	Journal article
Izdano:	Elsevier 2014

Slični predmeti

Stochastic analysis, rough path analysis and fractional Brownian motions
od: Coutin, L, i dr.
Izdano: (2002)

Regularity Theory for Rough Partial Differential Equations and Parabolic Comparison Revisited
od: Diehl, J, i dr.
Izdano: (2014)

Lipschitz functions on unparameterised rough paths and the Brownian motion associated to the bilaplacian
od: Nejad, S
Izdano: (2018)

Physical Brownian motion in a magnetic field as a rough path
od: Friz, P, i dr.
Izdano: (2015)

Random walks and Lévy processes as rough paths
od: Chevyrev, I
Izdano: (2017)

On the splitting-up method for rough (partial) differential equations
od: Friz, P, i dr.
Izdano: (2011)

Finite dimensional characteristic functions of Brownian rough path
od: Geng, X, i dr.
Izdano: (2017)

Rough path stability of (semi-)linear SPDEs
od: Friz, P, i dr.
Izdano: (2013)

A quasi-sure non-degeneracy property for the Brownian rough path
od: Boedihardjo, H, i dr.
Izdano: (2018)

Flow equations on spaces of rough paths
od: Lyons, T, i dr.
Izdano: (1997)

Lévy area analysis and parameter estimation for fOU processes via non-geometric rough path theory
od: Qian, Z, i dr.
Izdano: (2024)

Rough differential equations with path-dependent coefficients
od: Ananova, A
Izdano: (2020)

Differential Equations driven by Π-rough paths
od: Gyurkó, L
Izdano: (2012)

A (rough) pathwise approach to a class of non-linear stochastic partial differential equations
od: Caruana, M, i dr.
Izdano: (2010)

Rough analysis and stochastic partial differential equations
od: Jin, R
Izdano: (2024)

Rough Paths on Manifolds
od: Cass, T, i dr.
Izdano: (2011)

Differential structure and flow equations on rough path space
od: Qian, Z, i dr.
Izdano: (2011)

Differential structure and flow equations on rough path space
od: Qian, Z, i dr.
Izdano: (2011)

Rough path limits of the Wong–Zakai type with a modified drift term
od: Friz, P, i dr.
Izdano: (2009)

Semi-implicit Taylor schemes for stiff rough differential equations
od: Riedel, S, i dr.
Izdano: (2020)

An extension theorem to rough paths
od: Lyons, T, i dr.
Izdano: (2007)

Lipschitz geometry and rough paths
od: Boutaib, Y
Izdano: (2016)

Roughness properties of paths and signals
od: Das, P
Izdano: (2022)

On (p,q)-rough paths
od: Lejay, A, i dr.
Izdano: (2006)

Rough paths, kernels, differential equations and an algebra of functions on streams
od: Salvi, C
Izdano: (2021)

Stratonovich's signatures of Brownian motion determine Brownian sample paths
od: Le Jan, Y, i dr.
Izdano: (2012)

An optimal polynomial approximation of Brownian motion
od: Foster, J, i dr.
Izdano: (2020)

Robustness in stochastic filtering and maximum likelihood estimation for SDEs
od: Diehl, J, i dr.
Izdano: (2014)

Optimal execution with rough path signatures
od: Kalsi, J, i dr.
Izdano: (2020)

A rough path perspective on renormalization
od: Bruned, Y, i dr.
Izdano: (2019)

The signature of a rough path: Uniqueness
od: Boedihardjo, H, i dr.
Izdano: (2016)

A uniform estimate for rough paths
od: Lyons, T, i dr.
Izdano: (2011)

Multiscale systems, homogenization, and rough paths
od: Chevyrev, I, i dr.
Izdano: (2019)

The signature of a rough path: uniqueness
od: Geng, X
Izdano: (2015)

Examples of Itô càdlàg rough paths
od: Chong, L, i dr.
Izdano: (2018)

Discrete approximations in stochastic rough path theory
od: Flint, G
Izdano: (2016)

Canonical RDEs and general semimartingales as rough paths
od: Chevyrev, I, i dr.
Izdano: (2018)

Rough paths, signatures and the modelling of functions on streams
od: Lyons, T
Izdano: (2014)

Characteristic functions of measures on geometric rough paths
od: Chevyrev, I, i dr.
Izdano: (2016)

An isomorphism between branched and geometric rough paths
od: Boedihardjo, H, i dr.
Izdano: (2019)