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.
Clasificación: | Libro Electrónico |
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Autor principal: | |
Otros Autores: | |
Formato: | Electrónico eBook |
Idioma: | Inglés |
Publicado: |
Cambridge, UK ; New York :
Cambridge University Press,
2010.
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Colección: | Cambridge studies in advanced mathematics ;
120. |
Temas: | |
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.