Rough stochastic differential equations
Probability
2025-12-09 v6
Abstract
We establish a simultaneous generalization of It\^o's theory of stochastic and Lyons' theory of rough differential equations. The interest in such a unification comes from a variety of applications, including pathwise stochastic filtering, - control and the conditional analysis of stochastic systems with common noise.
Cite
@article{arxiv.2106.10340,
title = {Rough stochastic differential equations},
author = {Peter K. Friz and Antoine Hocquet and Khoa Lê},
journal= {arXiv preprint arXiv:2106.10340},
year = {2025}
}
Comments
A symbolic index is added, few details in proofs are added, typos are corrected