Format:
Online-Ressource (XVIII, 109 p. 3 illus, digital)
ISBN:
9783540712855
Series Statement:
SpringerLink
Content:
Differential Equations Driven by Moderately Irregular Signals -- The Signature of a Path -- Rough Paths -- Integration Along Rough Paths -- Differential Equations Driven by Rough Paths.
Content:
Each year young mathematicians congregate in Saint Flour, France, and listen to extended lecture courses on new topics in Probability Theory. The goal of these notes, representing a course given by Terry Lyons in 2004, is to provide a straightforward and self supporting but minimalist account of the key results forming the foundation of the theory of rough paths. The proofs are similar to those in the existing literature, but have been refined with the benefit of hindsight. The theory of rough paths aims to create the appropriate mathematical framework for expressing the relationships between evolving systems, by extending classical calculus to the natural models for noisy evolving systems, which are often far from differentiable.
Note:
Includes bibliographical references (p. [95]-99) and index
,
Lecture given by Prof. Lyons at the 34th Probability Summer School in Saint-Flour; written with the help of Michael Caruana and Thierry Lévy
Additional Edition:
ISBN 9783540712848
Additional Edition:
Buchausg. u.d.T. Lyons, Terry, 1953 - Differential equations driven by rough paths Berlin [u.a.] : Springer, 2007 ISBN 3540712844
Additional Edition:
ISBN 9783540712848
Language:
English
Subjects:
Mathematics
Keywords:
Stochastische Differentialgleichung
;
Stochastisches Integral
;
Konferenzschrift
DOI:
10.1007/978-3-540-71285-5
URL:
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URL:
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