A Lévy area between Brownian motion and rough paths with applications to robust nonlinear filtering and rough partial differential equations-Reference-Cited by-同舟云学术

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

Published:2015-01 Issue:1 Volume:125 Page:161-181
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Diehl Joscha,Oberhauser Harald,Riedel Sebastian

Funder

European Research Council

DFG Grant

Oxford–Man Institute

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference31 articles.

1. Christian Bayer, Peter K. Friz, Sebastian Riedel, John Schoenmakers, From rough path estimates to multilevel Monte Carlo, 2013. ArXiv preprint arXiv:1305.5779.

2. Measure Theory. Vol. I;Bogachev,2007

3. Partial differential equations driven by rough paths;Caruana;J. Differential Equations,2009

4. A (rough) pathwise approach to a class of non-linear stochastic partial differential equations;Caruana;Ann. Inst. H. Poincaré Anal. Non Linéaire,2011

5. Integrability estimates for Gaussian rough differential equations;Cass;Ann. Probab.,2013

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