Multidimensional Stochastic Processes as Rough Paths
Language: English
Published by Cambridge University Press, GB, 2010
Series: Book 54 of 151 - Cambridge Studies in Advanced Mathematics
- Hardcover
- New
Seller: Rarewaves.com USA, London, London, United KingdomRarewaves.com USA
AbeBooks seller since June 11, 2025
Condition: New
£ 146.86
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Add to basketItem description from seller
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.…
Seller Inventory # LU-9780521876070
- Title
- Multidimensional Stochastic Processes as Rough Paths
- Author
- Peter K. Friz, Nicolas B. Victoir
- Publisher
- Cambridge University Press, GB
- Publication year
- 2010
- Condition
- New
- Binding
- Hardback
- Language
- English
- ISBN 10
- 0521876079
- ISBN 13
- 9780521876070
- Item weight
- 1,600 grams
- Series
- Book 54 of 151: Cambridge Studies in Advanced Mathematics
"Synopsis" may belong to another edition of this title.
About the Author
Nicolas B. Victoir works in quantitative research at JPMorgan in Hong Kong.
"About the title" may belong to another edition of this title.
Rarewaves.com USA
London, London, United Kingdom
AbeBooks seller since June 11, 2025
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