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math.PR2013★ 2 cited
On the Variational Regularity of Cameron-Martin paths
Peter K. Friz, Benjamin Gess, Sebastian Riedel
It is a well-known fact that finite rho-variation of the covariance (in 2D sense) of a general Gaussian process implies finite rho-variation of Cameron-Martin paths. In the special…
math.PR2013★ 12 cited
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…