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Rough path stability of SPDEs arising in non-linear filtering and beyond

Friz, P (Technische Universitat Berlin)
Tuesday 15 June 2010, 14:00-14:50

Seminar Room 1, Newton Institute


We present a (rough)pathwise view on stochastic partial differential equations. Our results are based on the marriage of rough path analysis with (2nd order) viscosity theory. Joint work with M. Caruana and H. Oberhauser.


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