Multidimensional Stochastic Processes as Rough Paths

Name: Multidimensional Stochastic Processes as Rough Paths
Brand: Cambridge University Press
SKU: 9780521876070
Price: 687.35 RON
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Theory and Applications

Autor: Peter K Friz

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Editura: Cambridge University Press

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Rough path analysis provides a fresh perspective on Ito's important theory of stochastic differentia...

Informații despre carte

Autor

Peter K Friz

Limbă

engleză

Legare

Carte - Copertă tare

Publicat

2010

Pagini

670

EAN

9780521876070

ISBN

0521876079

Enbook ID

04379057

Editura

Cambridge University Press

Greutate

1062

Dimensiuni

235 x 160 x 39

Descriere completă

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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Multidimensional Stochastic Processes as Rough Paths

Theory and Applications

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