A course on rough paths [Documento electrónico] : with an introduction to regularity structures / Peter K. Friz, Martin Hairer
Language: eng.Country: Germany.Publication: Cham : Springer International Publishing, 2014Description: XIV, 251 p. : il.ISBN: 978-3-319-08332-2.Series: UniversitextSubject - Topical Name: Equações diferenciais estocásticas Online Resources:Click here to access onlineItem type | Current library | Collection | Call number | Copy number | Status | Date due | Barcode | |
---|---|---|---|---|---|---|---|---|
E-Books | Biblioteca NOVA FCT Online | Não Ficção | QA274.23.SPR FCT 82070 (Browse shelf(Opens below)) | 1 | Available |
Browsing Biblioteca NOVA FCT shelves, Shelving location: Online, Collection: Não Ficção Close shelf browser (Hides shelf browser)
QA274.23.SPR FCT 81731 Stochastic analysis with financial applications, Hong Kong 2009 | QA274.23.SPR FCT 82000 Stochastic differential equations, backward SDEs, partial differential equations | QA274.23.SPR FCT 82026 General Pontryagin-type stochastic maximum principle and backward stochastic evolution equations in infinite dimensions | QA274.23.SPR FCT 82070 A course on rough paths, with an introduction to regularity structures | QA274.23.SPR FCT 82352 Stochastic differential equations | QA274.23.SPR FCT 82415 Numerical solution of stochastic differential equations with jumps in finance | QA274.23.SPR FCT 94114 Singular stochastic differential equations |
Colocação: Online
Lyons’ rough path analysis has provided new insights in the analysis of stochastic differential equations and stochastic partial differential equations, such as the KPZ equation. This textbook presents the first thorough and easily accessible introduction to rough path analysis. When applied to stochastic systems, rough path analysis provides a means to construct a pathwise solution theory which, in many respects, behaves much like the theory of deterministic differential equations and provides a clean break between analytical and probabilistic arguments. It provides a toolbox allowing to recover many classical results without using specific probabilistic properties such as predictability or the martingale property. The study of stochastic PDEs has recently led to a significant extension – the theory of regularity structures – and the last parts of this book are devoted to a gentle introduction. Most of this course is written as an essentially self-contained textbook, with an emphasis on ideas and short arguments, rather than pushing for the strongest possible statements. A typical reader will have been exposed to upper undergraduate analysis courses and has some interest in stochastic analysis. For a large part of the text, little more than Itô integration against Brownian motion is required as background.
There are no comments on this title.