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Advances in Mathematical Finance and Optimal Transport

Rough SDEs, Rough Semimartingales

speaker: Peter Friz (Weierstrass Institute Berlin )

abstract: Rough SDE are hybrid differential equations that (simultaneously) generalize classical rough and stochastic Ito differential equations. Generic solutions are not semimartingales, but constitute natural examples of rough semimartingales, recently introduced. Existence and uniqueness of rough SDEs under optimal conditions rely on the notion of stochastic controlled rough path and ideas from stochastic sewing. The resulting theory has applications in robust filtering, pathwise stochastic control theory, McKean-Vlasov equations with common noise and the corresponding rough (linear HJB-type non-local) PDE theories. (P.K.Friz, TU AND WIAS BERLIN, Joint work with P. Zorin-Kranich , A. Hocquet, K. Lê)

timetable:
Tue 28 Jun, 9:15 - 10:00, Aula Dini
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