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Rough stochastic differential equations
Published 18 Jun 2021 in math.PR | (2106.10340v5)
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.
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