Multidimensional Stochastic Processes as Rough Paths - Peter K. Friz,Nicolas B. Victoir
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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 counterexa ... Full description
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Description
More Information
| Author | Peter K. Friz, Nicolas B. Victoir |
|---|---|
| Publisher | Cambridge University Press |
| Release year | 2010 |
| Cover type | Hardcover |
| EAN | 9780521876070 |