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math.PR2025
Rough SDEs and Robust Filtering for Jump-Diffusions
Andrew L. Allan, Jost Pieper, Josef Teichmann
We investigate the existence of a robust, i.e., continuous, representation of the conditional distribution in a stochastic filtering model for multidimensional correlated jump-diff…
math.PR2024
Rough Stochastic Analysis with Jumps
Andrew L. Allan, Jost Pieper
We present a new version of the stochastic sewing lemma, capable of handling multiple discontinuous control functions. This is then used to develop a theory of rough stochastic ana…