Rough Stochastic Differential Equations (RSDEs) and Applications

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 noice. This talk 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.)