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Multidimensional Stochastic Processes as Rough Paths: Theory and Applications (Cambridge Studies in Advanced Mathematics, Series Number 120) - Hardcover
Book 54 of 151: Cambridge Studies in Advanced Mathematics
Synopsis
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.
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About the Authors
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.
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Multidimensional Stochastic Processes As Rough Paths : Theory and Applications
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Multidimensional Stochastic Processes as Rough Paths: Theory and Applications (Cambridge Studies in Advanced Mathematics, Series Number 120)
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Multidimensional Stochastic Processes as Rough Paths: Theory and Applications (Cambridge Studies in Advanced Mathematics, Series Number 120)
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Multidimensional Stochastic Processes as Rough Paths
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Hardback. Condition: New. 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
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Multidimensional Stochastic Processes As Rough Paths : Theory and Applications
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Multidimensional Stochastic Processes as Rough Paths: Theory and Applications: 120 (Cambridge Studies in Advanced Mathematics, Series Number 120)
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Condition: New. An introduction to rough path theory and its applications to stochastic analysis, written for graduate students and researchers. Series: Cambridge Studies in Advanced Mathematics. Num Pages: 670 pages, 6 b/w illus. 100 exercises. BIC Classification: PBK. Category: (U) Tertiary Education (US: College). Dimension: 160 x 235 x 39. Weight in Grams: 1062. . 2010. Illustrated. hardcover. . . . . Seller Inventory # V9780521876070
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Multidimensional Stochastic Processes as Rough Paths
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Hardback. Condition: New. 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
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Multidimensional Stochastic Processes as Rough Paths: Theory and Applications: 120 (Cambridge Studies in Advanced Mathematics, Series Number 120)
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Condition: New. An introduction to rough path theory and its applications to stochastic analysis, written for graduate students and researchers. Series: Cambridge Studies in Advanced Mathematics. Num Pages: 670 pages, 6 b/w illus. 100 exercises. BIC Classification: PBK. Category: (U) Tertiary Education (US: College). Dimension: 160 x 235 x 39. Weight in Grams: 1062. . 2010. Illustrated. hardcover. . . . . Books ship from the US and Ireland. Seller Inventory # V9780521876070
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Multidimensional Stochastic Processes as Rough Paths (Hardcover)
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Hardcover. Condition: new. Hardcover. 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. Rough paths may play an important role in the future analysis of stochastic partial differential equations. 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. This item is printed on demand. Shipping may be from our UK warehouse or from our Australian or US warehouses, depending on stock availability. Seller Inventory # 9780521876070
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