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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Multidimensional Stochastic Processes as Rough Paths

Multidimensional Stochastic Processes as Rough Paths

Friz, Peter K.
Victoir, Nicolas B.

Hardcover

Series: Cambridge Studies in Advanced Mathematics, Book 120

Probability & Statistics

ISBN10: 0521876079
ISBN13: 9780521876070
Publisher: Cambridge University Press
Published: Feb 4 2010
Pages: 670
Weight: 2.20
Height: 1.50 Width: 6.10 Depth: 9.00
Language: English
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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