Wed, 20 May 2026
11:00
L4

A short course on Rough Stochastic Differential Equations (RSDEs) and Applications (Lecture 1/3)

Prof. Peter Friz
(TU Berlin)
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).
 



 

Further Information

This mini course will develop in three lectures on the Wednesdays 20/5, 3/6, 10/6 at 11am in L4

Florence Nightingale Lecture 2026 TODAY

Please join colleagues in the Department of Statistics for their annual Florence Nightingale Lecture which will be held today, Friday 22nd May at 3.30 p.m. in the Large Lecture Theatre, Department of Statistics. Everyone is welcome.

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