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Multidimensional Stochastic Processes as Rough Paths

Multidimensional Stochastic Processes as Rough Paths

879 kr.

879 kr.

På lager

Tirs., 21 jan. - fre., 24 jan.


Sikker betaling

14 dages åbent køb


Sælges og leveres af

Adlibris


Produktbeskrivelse

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.

Varenr.

3d1571d7-c476-4179-8dc8-2aea9136b9e9

Multidimensional Stochastic Processes as Rough Paths

879 kr.

879 kr.

På lager

Tirs., 21 jan. - fre., 24 jan.


Sikker betaling

14 dages åbent køb


Sælges og leveres af

Adlibris