paper

Rough stochastic differential equations

arXiv:2106.10340

Abstract

We establish a simultaneous generalization of Itô'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.

A symbolic index is added, few details in proofs are added, typos are corrected

Rough stochastic differential equations · wovepaper