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11:00
A short course on Rough Stochastic Differential Equations (RSDEs) and Applications (Lecture 3/3)
Abstract
Recent advances at the interface of stochastic analysis, rough path theory, stochastic filtering, stochastic control, and mean-field systems have led to a rapidly developing framework for analyzing stochastic dynamics conditioned on common/observation noise. This mini course will survey how rough stochastic differential equations, introduced in 2021 by A. Hocquet, K. Lê and the speaker, lead to a unifying perspective across several areas of applied probability. (Additional coauthors include F. Bugini, J. Dause, W. Stannat, H. Zhang and P.Zorin-Kranich).
This mini course will develop in three lectures on the Wednesdays 20/5, 3/6, 10/6 at 11am in L4