Multidimensional Stochastic Processes as Rough Paths

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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''...
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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''...
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  • Formats: pdf
  • ISBN: 9780511686511
  • Publication Date: 4 Feb 2010
  • Publisher: Cambridge University Press
  • Product language: English
  • Drm Setting: DRM