Mixed rough differential equations and Gaussian integrability

Joscha Diehl
Technische Universität Berlin

We study equations that are driven by a deterministic rough
path and an additional stochastic Brownian motion. These kind of
equations appear in finance, previsible stochastic control and
stochastic filtering. One mathematical interesting problem is their
exponential integrability, which we prove using recent advances on
this topic.
This is joint work with Peter Friz, Harald Oberhauser and Sebastian Riedel.

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