36 citations · 208 across the 26 of their papers we have counts for
4 papers · 1 filter
Pathwise stability of likelihood estimators for diffusions via rough paths
Joscha Diehl, Peter Friz, Hilmar Mai
We consider the classical estimation problem of an unknown drift parameter within classes of nondegenerate diffusion processes. Using rough path theory (in the sense of T. Lyons),…
Rotation invariants of two dimensional curves based on iterated integrals
Joscha Diehl
We introduce a novel class of rotation invariants of two dimensional curves based on iterated integrals. The invariants we present are in some sense complete and we describe an alg…
Stochastic control with rough paths
Joscha Diehl, Peter Friz, Paul Gassiat
We study a class of controlled rough differential equations. It is shown that the value function satisfies a HJB type equation; we also establish a form of the Pontryagin maximum p…
A Levy-area between Brownian motion and rough paths with applications to robust non-linear filtering and RPDEs
Joscha Diehl, Harald Oberhauser, Sebastian Riedel
We give meaning to differential equations with a rough path term and a Brownian noise term as driving signals. Such differential equations as well as the question of regularity of…