The inverse problem for rough controlled differential equations
Probability
2014-11-17 v3 Classical Analysis and ODEs
Abstract
We provide a necessary and sufficient condition for a rough control driving a differential equation to be reconstructable, to some order, from observing the resulting controlled evolution. Physical examples and applications in stochastic filtering and statistics demonstrate the practical relevance of our result.
Cite
@article{arxiv.1407.2768,
title = {The inverse problem for rough controlled differential equations},
author = {I. Bailleul and J. Diehl},
journal= {arXiv preprint arXiv:1407.2768},
year = {2014}
}
Comments
added section on rough path theory