Multidimensional Stochastic Processes as Rough Paths (English, Peter K. Friz | Nicolas B. Victoir)
by Peter K. Friz | Nicolas B. Victoir
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About the Book
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 expla…
ISBN: 9780521876070
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