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The Resource Multidimensional stochastic processes as rough paths : theory and applications, Peter K. Friz, Nicolas B. Victoir

Multidimensional stochastic processes as rough paths : theory and applications, Peter K. Friz, Nicolas B. Victoir

Label
Multidimensional stochastic processes as rough paths : theory and applications
Title
Multidimensional stochastic processes as rough paths
Title remainder
theory and applications
Statement of responsibility
Peter K. Friz, Nicolas B. Victoir
Creator
Contributor
Subject
Language
eng
Member of
Cataloging source
DLC
http://library.link/vocab/creatorDate
1974-
http://library.link/vocab/creatorName
Friz, Peter K.
Illustrations
illustrations
Index
index present
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/relatedWorkOrContributorName
Victoir, Nicolas B
Series statement
Cambridge studies in advanced mathematics
Series volume
120
http://library.link/vocab/subjectName
  • Stochastic difference equations
  • Stochastic processes
  • Random measures
Label
Multidimensional stochastic processes as rough paths : theory and applications, Peter K. Friz, Nicolas B. Victoir
Instantiates
Publication
Bibliography note
Includes bibliographical references (p. [638]-651) and index
Contents
  • Preface
  • Index
  • Introduction
  • The story in a nutshell
  • Basics
  • Continuous paths of bounded variation
  • Riemann-Stieltjes integration
  • Ordinary differential equations (ODEs)
  • ODEs: smoothness
  • Variation and HÃœlder spaces
  • Young integration
  • Abstract Theory of Rough Paths
  • Free nilpotent groups
  • Variation and HÃœlder spaces on free groups
  • Geometric rough path spaces
  • Rough differential equations (RDEs)
  • RDEs: smoothness
  • RDEs with drift and other topics
  • Stochastic Processes Lifted to Rough Paths
  • Brownian motion
  • Continuous (semi)martingales
  • Gaussian processes
  • Markov processes
  • Applications to Stochastic Analysis
  • Stochastic differential equations and stochastic flows
  • Stochastic Taylor expansions
  • Support theorem and large deviations
  • Malliavin calculus for RDEs
  • Appendix: A. Sample path regularity and related topics
  • Banach calculus
  • Large deviations
  • Gaussian analysis
  • Analysis on local Dirichlet spaces
  • Frequently used notation
  • References
Control code
010258338
Dimensions
24 cm.
Extent
xiv, 656 p.
Isbn
9780521876070
Lccn
2009048605
Other physical details
ill.
Label
Multidimensional stochastic processes as rough paths : theory and applications, Peter K. Friz, Nicolas B. Victoir
Publication
Bibliography note
Includes bibliographical references (p. [638]-651) and index
Contents
  • Preface
  • Index
  • Introduction
  • The story in a nutshell
  • Basics
  • Continuous paths of bounded variation
  • Riemann-Stieltjes integration
  • Ordinary differential equations (ODEs)
  • ODEs: smoothness
  • Variation and HÃœlder spaces
  • Young integration
  • Abstract Theory of Rough Paths
  • Free nilpotent groups
  • Variation and HÃœlder spaces on free groups
  • Geometric rough path spaces
  • Rough differential equations (RDEs)
  • RDEs: smoothness
  • RDEs with drift and other topics
  • Stochastic Processes Lifted to Rough Paths
  • Brownian motion
  • Continuous (semi)martingales
  • Gaussian processes
  • Markov processes
  • Applications to Stochastic Analysis
  • Stochastic differential equations and stochastic flows
  • Stochastic Taylor expansions
  • Support theorem and large deviations
  • Malliavin calculus for RDEs
  • Appendix: A. Sample path regularity and related topics
  • Banach calculus
  • Large deviations
  • Gaussian analysis
  • Analysis on local Dirichlet spaces
  • Frequently used notation
  • References
Control code
010258338
Dimensions
24 cm.
Extent
xiv, 656 p.
Isbn
9780521876070
Lccn
2009048605
Other physical details
ill.

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