Several SPDEs arise from SDE dynamics under partial conditioning of the noise. My talk will circulate on three concrete examples, the Zakai equation from non-linear filtering, the pathwise control problem suggested by Lions-Sougandis, and last not least a rough PDE approach to pricing in non-Markovian stochastic volatility models. Underlying all these examples is the notion of rough stochastic differential equations, recently introduced (jointly with K. Lê and A. Hocquet).