Joscha Diehl

I am a postdoc at the Max-Planck Institute for Mathematics in the Sciences in the group of Benjamin Gess.

Email: first name . last name at gmail . com


The signature of iterated integrals: algebra, analysis and machine learning, 2018


Backward stochastic differential equations with Young drift
with J. Zhang Probability, Uncertainty and Quantitative Risk, 2017.

The parabolic Anderson model on Riemann surfaces
with A. Dahlqvist and B. Driver arXiv:1702.02965, 2017.

The Kardar-Parisi-Zhang equation as scaling limit of weakly asymmetric interacting Brownian motions
with M. Gubinelli and N. Perkowski Communications in Mathematical Physics, 2017.

Stochastic partial differential equations: a rough paths view on weak solutions via Feyman-Kac
with P. Friz and W. Stannat Annales de la Faculté des Sciences de Toulouse, 2017.

Stochastic control with rough paths
with P. Friz and P. Gassiat, Applied Mathematics & Optimization, 2016.

Pathwise stability of likelihood estimators for diffusions via rough paths
with P. Friz and H. Mai The Annals of Applied Probability, 2016.

The inverse problem for rough controlled differential equations
with I. Bailleul SIAM Journal on Control and Optimization, 2015.

Regularity Theory for Rough Partial Differential Equations and Parabolic Comparison Revisited
with P. Friz and H. Oberhauser Springer Proceedings in Mathematics & Statistics, 2014.

A Lévy area between Brownian motion and rough paths with applications to robust nonlinear filtering and rough PDEs
with H. Oberhauser and S. Riedel Stochastic Processes and their Applications, 2014.

Robustness in stochastic filtering and maximum likelihood estimation for SDEs
with P. Friz, H. Mai, H. Oberhauser, R. Riedel and W. Stannat Extraction of Quantifiable Information from Complex Systems, Springer, 2014.

Robust Filtering: Correlated Noise and Multidimensional Observation
with D. Crisan, P. Friz and H. Oberhauser Annals of Applied Probability, 2013.

Backward stochastic differential equations with rough drivers
with P. Friz Annals of Probability, 2012.