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Multidimensional Stochastic Processes as Rough Paths
Buch von Peter K. Friz (u. a.)
Sprache: Englisch

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Beschreibung
An introduction to rough path theory and its applications to stochastic analysis, written for graduate students and researchers.
An introduction to rough path theory and its applications to stochastic analysis, written for graduate students and researchers.
Über den Autor
Peter K. Friz is a Reader in the Department of Pure Mathematics and Mathematical Statistics at the University of Cambridge. He is also a Research Group Leader at the Johann Radon Institute at the Austrian Academy of Sciences, Linz.
Inhaltsverzeichnis
Preface; Introduction; The story in a nutshell; Part I. Basics: 1. Continuous paths of bounded variation; 2. Riemann-Stieltjes integration; 3. Ordinary differential equations (ODEs); 4. ODEs: smoothness; 5. Variation and Hölder spaces; 6. Young integration; Part II. Abstract Theory of Rough Paths: 7. Free nilpotent groups; 8. Variation and Hölder spaces on free groups; 9. Geometric rough path spaces; 10. Rough differential equations (RDEs); 11. RDEs: smoothness; 12. RDEs with drift and other topics; Part III. Stochastic Processes Lifted to Rough Paths: 13. Brownian motion; 14. Continuous (semi)martingales; 15. Gaussian processes; 16. Markov processes; Part IV. Applications to Stochastic Analysis: 17. Stochastic differential equations and stochastic flows; 18. Stochastic Taylor expansions; 19. Support theorem and large deviations; 20. Malliavin calculus for RDEs; Part V. Appendix: A. Sample path regularity and related topics; B. Banach calculus; C. Large deviations; D. Gaussian analysis; E. Analysis on local Dirichlet spaces; Frequently used notation; References; Index.
Details
Erscheinungsjahr: 2010
Fachbereich: Wahrscheinlichkeitstheorie
Genre: Mathematik
Rubrik: Naturwissenschaften & Technik
Medium: Buch
Seiten: 672
ISBN-13: 9780521876070
ISBN-10: 0521876079
Sprache: Englisch
Ausstattung / Beilage: HC gerader Rücken kaschiert
Einband: Gebunden
Autor: Friz, Peter K.
Victoir, Nicolas B.
Hersteller: Cambridge University Press
Maße: 235 x 157 x 40 mm
Von/Mit: Peter K. Friz (u. a.)
Erscheinungsdatum: 04.02.2010
Gewicht: 1,11 kg
preigu-id: 101334488
Über den Autor
Peter K. Friz is a Reader in the Department of Pure Mathematics and Mathematical Statistics at the University of Cambridge. He is also a Research Group Leader at the Johann Radon Institute at the Austrian Academy of Sciences, Linz.
Inhaltsverzeichnis
Preface; Introduction; The story in a nutshell; Part I. Basics: 1. Continuous paths of bounded variation; 2. Riemann-Stieltjes integration; 3. Ordinary differential equations (ODEs); 4. ODEs: smoothness; 5. Variation and Hölder spaces; 6. Young integration; Part II. Abstract Theory of Rough Paths: 7. Free nilpotent groups; 8. Variation and Hölder spaces on free groups; 9. Geometric rough path spaces; 10. Rough differential equations (RDEs); 11. RDEs: smoothness; 12. RDEs with drift and other topics; Part III. Stochastic Processes Lifted to Rough Paths: 13. Brownian motion; 14. Continuous (semi)martingales; 15. Gaussian processes; 16. Markov processes; Part IV. Applications to Stochastic Analysis: 17. Stochastic differential equations and stochastic flows; 18. Stochastic Taylor expansions; 19. Support theorem and large deviations; 20. Malliavin calculus for RDEs; Part V. Appendix: A. Sample path regularity and related topics; B. Banach calculus; C. Large deviations; D. Gaussian analysis; E. Analysis on local Dirichlet spaces; Frequently used notation; References; Index.
Details
Erscheinungsjahr: 2010
Fachbereich: Wahrscheinlichkeitstheorie
Genre: Mathematik
Rubrik: Naturwissenschaften & Technik
Medium: Buch
Seiten: 672
ISBN-13: 9780521876070
ISBN-10: 0521876079
Sprache: Englisch
Ausstattung / Beilage: HC gerader Rücken kaschiert
Einband: Gebunden
Autor: Friz, Peter K.
Victoir, Nicolas B.
Hersteller: Cambridge University Press
Maße: 235 x 157 x 40 mm
Von/Mit: Peter K. Friz (u. a.)
Erscheinungsdatum: 04.02.2010
Gewicht: 1,11 kg
preigu-id: 101334488
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