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
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The item Multidimensional stochastic processes as rough paths : theory and applications, Peter K. Friz, Nicolas B. Victoir represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Liverpool.This item is available to borrow from 1 library branch.
Resource Information
The item Multidimensional stochastic processes as rough paths : theory and applications, Peter K. Friz, Nicolas B. Victoir represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Liverpool.
This item is available to borrow from 1 library branch.
 Summary
 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, FreidlinWentzell theory, the StroockVaradhan support description) can be obtained with dramatic simplifications. Classical approximation results and their limitations (WongZakai, 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 uptodate 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
 Language
 eng
 Extent
 1 online resource (xiv, 656 pages)
 Note
 Title from publisher's bibliographic system (viewed on 05 Oct 2015)
 Contents

 Introduction
 The story in a nutshell
 Continuous paths of bounded variation
 RiemannStieltjes integration
 Ordinary differential equations
 ODEs : smoothness
 Variation and Hölder spaces
 Young integration
 Free nilpotent groups
 Variation and Hölder spaces on free groups
 Geometric rough path spaces
 Rough differential equations
 RDEs : smoothness
 RDEs with drift and other topics
 Brownian motion
 Continuous (semi )martingales
 Gaussian processes
 Markov processes
 Stochastic differential equations and stochastic flows
 Stochastic Taylor expansions
 Support theorem and large deviations
 Malliavin calculus for RDEs
 Appendix A: Sample paths regularity and related topics
 Appendix B: Banach calculus
 Appendix C: Large deviations
 Appendix D: Gaussian analysis
 Appendix E: Analysis on local Dirichlet spaces
 Isbn
 9780511845079
 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
 Language
 eng
 Summary
 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, FreidlinWentzell theory, the StroockVaradhan support description) can be obtained with dramatic simplifications. Classical approximation results and their limitations (WongZakai, 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 uptodate 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
 Cataloging source
 UkCbUP
 http://library.link/vocab/creatorDate
 1974
 http://library.link/vocab/creatorName
 Friz, Peter K.
 Dewey number
 519.2
 Index
 index present
 LC call number
 QA274.23
 LC item number
 .F746 2010
 Literary form
 non fiction
 Nature of contents
 dictionaries
 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
 Note
 Title from publisher's bibliographic system (viewed on 05 Oct 2015)
 Carrier category
 online resource
 Carrier category code

 cr
 Carrier MARC source
 rdacarrier
 Content category
 text
 Content type code

 txt
 Content type MARC source
 rdacontent
 Contents
 Introduction  The story in a nutshell  Continuous paths of bounded variation  RiemannStieltjes integration  Ordinary differential equations  ODEs : smoothness  Variation and Hölder spaces  Young integration  Free nilpotent groups  Variation and Hölder spaces on free groups  Geometric rough path spaces  Rough differential equations  RDEs : smoothness  RDEs with drift and other topics  Brownian motion  Continuous (semi )martingales  Gaussian processes  Markov processes  Stochastic differential equations and stochastic flows  Stochastic Taylor expansions  Support theorem and large deviations  Malliavin calculus for RDEs  Appendix A: Sample paths regularity and related topics  Appendix B: Banach calculus  Appendix C: Large deviations  Appendix D: Gaussian analysis  Appendix E: Analysis on local Dirichlet spaces
 Control code
 CR9780511845079
 Extent
 1 online resource (xiv, 656 pages)
 Form of item
 online
 Isbn
 9780511845079
 Media category
 computer
 Media MARC source
 rdamedia
 Media type code

 c
 Other physical details
 digital, PDF file(s).
 Specific material designation
 remote
 Label
 Multidimensional stochastic processes as rough paths : theory and applications, Peter K. Friz, Nicolas B. Victoir
 Note
 Title from publisher's bibliographic system (viewed on 05 Oct 2015)
 Carrier category
 online resource
 Carrier category code

 cr
 Carrier MARC source
 rdacarrier
 Content category
 text
 Content type code

 txt
 Content type MARC source
 rdacontent
 Contents
 Introduction  The story in a nutshell  Continuous paths of bounded variation  RiemannStieltjes integration  Ordinary differential equations  ODEs : smoothness  Variation and Hölder spaces  Young integration  Free nilpotent groups  Variation and Hölder spaces on free groups  Geometric rough path spaces  Rough differential equations  RDEs : smoothness  RDEs with drift and other topics  Brownian motion  Continuous (semi )martingales  Gaussian processes  Markov processes  Stochastic differential equations and stochastic flows  Stochastic Taylor expansions  Support theorem and large deviations  Malliavin calculus for RDEs  Appendix A: Sample paths regularity and related topics  Appendix B: Banach calculus  Appendix C: Large deviations  Appendix D: Gaussian analysis  Appendix E: Analysis on local Dirichlet spaces
 Control code
 CR9780511845079
 Extent
 1 online resource (xiv, 656 pages)
 Form of item
 online
 Isbn
 9780511845079
 Media category
 computer
 Media MARC source
 rdamedia
 Media type code

 c
 Other physical details
 digital, PDF file(s).
 Specific material designation
 remote
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<div class="citation" vocab="http://schema.org/"><i class="fa faexternallinksquare fafw"></i> Data from <span resource="http://link.liverpool.ac.uk/portal/Multidimensionalstochasticprocessesasrough/xtSOwuTAXN8/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.liverpool.ac.uk/portal/Multidimensionalstochasticprocessesasrough/xtSOwuTAXN8/">Multidimensional stochastic processes as rough paths : theory and applications, Peter K. Friz, Nicolas B. Victoir</a></span>  <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.liverpool.ac.uk/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.liverpool.ac.uk/">University of Liverpool</a></span></span></span></span></div>