Randomisation of Rough Stochastic Differential Equations

Peter K. Friz (), Khoa Lê and Huilin Zhang
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Peter K. Friz: TU Berlin and WIAS Berlin
Khoa Lê: University of Leeds, School of Mathematics
Huilin Zhang: Shandong University and Humboldt University

A chapter in Stochastic Analysis and Applications 2025, 2026, pp 51-71 from Springer

Abstract: Abstract Rough stochastic differential equations (RSDEs) are common generalisations of Itô SDEs and Lyons RDEs and have emerged as a new tool in several areas of applied probability, including non-linear stochastic filtering, pathwise stochastic optimal control, volatility modelling in finance and mean-fields analysis of the common noise system. We here take a unified perspective on rough Itô processes and discuss in particular when and how they become, upon randomisation, ‘doubly stochastic’ Itô processes, and what can be said about their conditional laws.

Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-032-03914-9_2

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DOI: 10.1007/978-3-032-03914-9_2

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