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Multidimensional Stochastic Processes as Rough Paths on Hardback by Peter K. Friz
Multidimensional Stochastic Processes as Rough Paths on Hardback by Peter K. Friz
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Multidimensional Stochastic Processes as Rough Paths

Theory and Applications
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Description

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's counterexample) receive 'obvious' rough path explanations. Evidence is building that rough paths will play an important role in the future analysis of stochastic partial differential equations and the authors include some first results in this direction. They also emphasize interactions with other parts of mathematics, including Caratheodory geometry, Dirichlet forms and Malliavin calculus. Based on successful courses at the graduate level, this up-to-date introduction presents the theory of rough paths and its applications to stochastic analysis. Examples, explanations and exercises make the book accessible to graduate students and researchers from a variety of fields.

Author Biography:

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. Nicolas B. Victoir works in quantitative research at JPMorgan in Hong Kong.
Release date Australia
February 4th, 2010
Audience
  • Tertiary Education (US: College)
Illustrations
Worked examples or Exercises; 2 Halftones, unspecified; 4 Line drawings, unspecified
Pages
670
Dimensions
160x235x38
ISBN-13
9780521876070
Product ID
3820493

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Books >
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Maths & Science >
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Vector & tensor analysis
Books >
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Maths & Science >
Mathematics >
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