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

Joscha Diehl, Harald Oberhauser and Sebastian Riedel

Stochastic Processes and their Applications, 2015, vol. 125, issue 1, 161-181

Abstract: 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 Stη=S0+∫0ta(Srη)dr+∫0tb(Srη)∘dBr+∫0tc(Srη)dηr where η is a deterministic geometric, step-2 rough path and B is a multi-dimensional Brownian motion. We then give two applications: a Feynman–Kac formula for RPDEs and a robust version of the conditional expectation that appears in the nonlinear filtering problem. En passant, we revisit the recent integrability estimates of Cass et al. (2013) for rough differential equations with Gaussian driving signals which might be of independent interest.

Keywords: Existence of path integrals; Integrability of rough differential equations with Gaussian signals; Clark’s robustness problem in nonlinear filtering; Viscosity solutions of RPDEs (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:125:y:2015:i:1:p:161-181

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DOI: 10.1016/j.spa.2014.08.005

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