| Abstract: |
| In 1978, J. M. C. Clark introduced the idea that the solution of the stochastic filtering problem should be naturally continuous in the observed signal. Such related theory is known as the robust filtering. In this talk, I would like to show the robust filtering by the rough path theory to the generality of related and non-Markovian case. Moreover, we show that the optional filter can be approximated by a discrete rough Euler scheme, and the optional convergence rate is obtained. This talk is based on an ongoing work with Peter K. Friz and Khoa Le. |
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