A Course on Rough Paths by Peter K Friz at Bookstore UAE
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A Course on Rough Paths

A Course on Rough Paths


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About the Book

1 Introduction.- 2 The space of rough paths.- 3 Brownian motion as a rough path.- 4 Integration against rough paths.- 5 Stochastic integration and Itô's formula.- 6 Doob-Meyer type decomposition for rough paths.- 7 Operations on controlled rough paths.- 8 Solutions to rough differential equations.- 9 Stochastic differential equations.- 10 Gaussian rough paths.- 11 Cameron-Martin regularity and applications.- 12 Stochastic partial differential equations.- 13 Introduction to regularity structures.- 14 Operations on modelled distributions.- 15 Application to the KPZ equation.- References.- Index.
About the Author:

Peter K. Friz is presently Einstein Professor of Mathematics at TU and WIAS Berlin. His previous professional affiliations include Cambridge University and Merrill Lynch, and he holds a PhD from the Courant Institute of New York University. He has made contributions to the understanding of the Navier-Stokes equation as dynamical system, pioneered new asymptotic techniques in financial mathematics and has written many influential papers on the applications of rough path theory to stochastic analysis, ranging from the interplay of rough paths with Malliavin calculus to a (rough-) pathwise view on non-linear SPDEs. Jointly with N. Victoir he authored a monograph on stochastic processes as rough paths.

Martin Hairer KBE FRS is currently Professor of Mathematics at Imperial College London. He has mostly worked in the fields of stochastic partial differential equations in particular, and in stochastic analysis and stochastic dynamics in general. He made fundamental advances in various directions such as the study of hypoelliptic and/or hypocoercive diffusions, the development of an ergodic theory for stochastic PDEs, the systematisation of the construction of Lyapunov functions for stochastic systems, the development of a general theory of ergodicity for non-Markovian systems, multiscale analysis techniques, etc. Most recently, he has worked on applying rough path techniques to the analysis of certain ill-posed stochastic PDEs and introduced the theory of regularity structures. For this work he was awarded the Fields Medal at the 2014 ICM in Seoul.


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Product Details
  • ISBN-13: 9783030415556
  • Publisher: Springer International Publishing
  • Publisher Imprint: Springer
  • Height: 234 mm
  • No of Pages: 346
  • Series Title: Universitext
  • Sub Title: With an Introduction to Regularity Structures
  • Width: 156 mm
  • ISBN-10: 3030415554
  • Publisher Date: 28 May 2020
  • Binding: Paperback
  • Language: English
  • Returnable: Y
  • Spine Width: 19 mm
  • Weight: 557 gr


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