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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
Antecedent source
unknown
Bibliography note
Includes bibliographical references (pages 638-651) and index
Color
multicolored
Contents
Introduction -- The story in a nutshell -- Continuous paths of bounded variation -- Riemann-Stieltjes 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
ocn642206054
Dimensions
unknown
Extent
1 online resource (xiv, 656 pages)
File format
unknown
Form of item
online
Isbn
9780511845079
Level of compression
unknown
Note
eBooks on EBSCOhost
Other physical details
illustrations
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)642206054
Label
Multidimensional stochastic processes as rough paths : theory and applications, Peter K. Friz, Nicolas B. Victoir
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references (pages 638-651) and index
Color
multicolored
Contents
Introduction -- The story in a nutshell -- Continuous paths of bounded variation -- Riemann-Stieltjes 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
ocn642206054
Dimensions
unknown
Extent
1 online resource (xiv, 656 pages)
File format
unknown
Form of item
online
Isbn
9780511845079
Level of compression
unknown
Note
eBooks on EBSCOhost
Other physical details
illustrations
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)642206054

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