Skip to main content Accessibility help
×
  1. Home
  2. Books
  3. Multidimensional Stochastic Processes as Rough Paths
  • Cited by 425
Publisher:
Cambridge University Press
Online publication date:
June 2012
Print publication year:
2010
Online ISBN:
9780511845079
DOI:
https://doi.org/10.1017/CBO9780511845079
Subjects:
Mathematics (general), Mathematics, Differential and Integral Equations, Dynamical Systems and Control Theory, Probability Theory and Stochastic Processes, Statistics and Probability
Series:
Cambridge Studies in Advanced Mathematics (120)
Information

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.

Refine List

Actions for selected content:

Select all | Deselect all
  • View selected items
  • Export citations
  • Download PDF (zip)
  • Save to Kindle
  • Save to Dropbox
  • Save to Google Drive

Save Search

You can save your searches here and later view and run them again in "My saved searches".

Please provide a title, maximum of 40 characters.
Cancel
×

Contents

Page 1 of 2

Contents

Page 1 of 2

Metrics

Altmetric attention score

Full text views

Total number of HTML views: 0
Total number of PDF views: 0 *
Loading metrics...

Book summary page views

Total views: 0 *
Loading metrics...

* Views captured on Cambridge Core between #date#. This data will be updated every 24 hours.

Usage data cannot currently be displayed.

Accessibility standard: Unknown

Why this information is here

This section outlines the accessibility features of this content - including support for screen readers, full keyboard navigation and high-contrast display options. This may not be relevant for you.

Accessibility Information

Accessibility compliance for the PDF of this book is currently unknown and may be updated in the future.