Multidimensional Stochastic Processes as Rough Paths

Released on by Peter K. Friz
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  • Multidimensional Stochastic Processes as Rough Paths Book Detail

  • Author : Peter K. Friz
  • Release Date : 2010-02-04
  • Publisher : Cambridge University Press
  • Genre : Mathematics
  • Pages : 671
  • ISBN 13 : 1139487213
  • File Size : 60,60 MB
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Multidimensional Stochastic Processes as Rough Paths by Peter K. Friz PDF Summary

Book Description: Rough path analysis provides a fresh perspective on Ito's important theory of stochastic differential equations. Key theorems of modern stochastic analysis (existence and limit theorems for stochastic flows, Freidlin-Wentzell theory, the Stroock-Varadhan support description) can be obtained with dramatic simplifications. Classical approximation results and their limitations (Wong-Zakai, McShane's counterexample) receive 'obvious' rough path explanations. Evidence is building that rough paths will play an important role in the future analysis of stochastic partial differential equations and the authors include some first results in this direction. They also emphasize interactions with other parts of mathematics, including Caratheodory geometry, Dirichlet forms and Malliavin calculus. Based on successful courses at the graduate level, this up-to-date introduction presents the theory of rough paths and its applications to stochastic analysis. Examples, explanations and exercises make the book accessible to graduate students and researchers from a variety of fields.

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A Course on Rough Paths

A Course on Rough Paths

File Size : 9,9 MB
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With many updates and additional exercises, the second edition of this book continues to provide readers with a gentle introduction to rough path analysis and r