Research Catalog

Title

Multidimensional stochastic processes as rough paths : theory and applications / Peter K. Friz, Nicolas B. Victoir.

Author

Friz, Peter K., 1974-

Publication

Cambridge, UK ; New York : Cambridge University Press, c2010.

Items in the Library & Off-site

Holdings

Details

Additional Authors

Victoir, Nicolas B.

Description

xiv, 656 p. : ill.; 24 cm.

Summary

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

Series Statement

Cambridge studies in advanced mathematics ; 120

Uniform Title

Cambridge studies in advanced mathematics ; 120.

Subject

• Random measures
• Stochastic analysis
• Stochastic difference equations
• Stochastic processes

Bibliography (note)

• Includes bibliographical references (p. [638]-651) and index.

Processing Action (note)

• committed to retain

Contents

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.

ISBN

• 9780521876070 (hardback)
• 0521876079 (hardback)

LCCN

^^2009048605

Owning Institutions

Harvard Library