Multidimensional stochastic processes as rough paths : theory and applications /

An introduction to rough path theory and its applications to stochastic analysis, written for graduate students and researchers.

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Friz, Peter K., 1974-
Otros Autores: Victoir, Nicolas B.
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Cambridge, UK ; New York : Cambridge University Press, 2010.
Colección:Cambridge studies in advanced mathematics ; 120.
Temas:
Stochastic difference equations.
Stochastic processes.
Random measures.
Équations aux différences stochastiques.
Processus stochastiques.
Mesures aléatoires.
MATHEMATICS > Probability & Statistics > General.
Stochastische Differentialgleichung
Stochastischer Prozess
Stochastische Analysis
Stochastik
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Introduction
  • The story in a nutshell
  • Continuous paths of bounded variation
  • Riemann-Stieltjes integration
  • Ordinary differential equations
  • ODEs : smoothness
  • Variation and Hölder spaces
  • Young integration
  • Free nilpotent groups
  • Variation and Hölder spaces on free groups
  • Geometric rough path spaces
  • Rough differential equations
  • RDEs : smoothness
  • RDEs with drift and other topics
  • Brownian motion
  • Continuous (semi- )martingales
  • Gaussian processes
  • Markov processes
  • Stochastic differential equations and stochastic flows
  • Stochastic Taylor expansions
  • Support theorem and large deviations
  • Malliavin calculus for RDEs
  • Appendix A: Sample paths regularity and related topics
  • Appendix B: Banach calculus
  • Appendix C: Large deviations
  • Appendix D: Gaussian analysis
  • Appendix E: Analysis on local Dirichlet spaces.

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