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The Resource A Course on Rough Paths : With an Introduction to Regularity Structures, by Peter K. Friz, Martin Hairer, (electronic resource)

A Course on Rough Paths : With an Introduction to Regularity Structures, by Peter K. Friz, Martin Hairer, (electronic resource)

Label
A Course on Rough Paths : With an Introduction to Regularity Structures
Title
A Course on Rough Paths
Title remainder
With an Introduction to Regularity Structures
Statement of responsibility
by Peter K. Friz, Martin Hairer
Creator
Contributor
Author
Subject
Language
eng
Summary
Lyons' rough path analysis has provided new insights in the analysis of stochastic differential equations and stochastic partial differential equations, such as the KPZ equation. This textbook presents the first thorough and easily accessible introduction to rough path analysis. When applied to stochastic systems, rough path analysis provides a means to construct a pathwise solution theory which, in many respects, behaves much like the theory of deterministic differential equations and provides a clean break between analytical and probabilistic arguments. It provides a toolbox allowing to recover many classical results without using specific probabilistic properties such as predictability or the martingale property. The study of stochastic PDEs has recently led to a significant extension -- the theory of regularity structures -- and the last parts of this book are devoted to a gentle introduction. Most of this course is written as an essentially self-contained textbook, with an emphasis on ideas and short arguments, rather than pushing for the strongest possible statements. A typical reader will have been exposed to upper undergraduate analysis courses and has some interest in stochastic analysis. For a large part of the text, little more than Itô integration against Brownian motion is required as background
Member of
Cataloging source
IT-FiEUI
http://library.link/vocab/creatorDate
1974-
http://library.link/vocab/creatorName
Friz, Peter K.
Image bit depth
0
Literary form
non fiction
http://library.link/vocab/relatedWorkOrContributorName
  • Hairer, Martin.
  • SpringerLink (Online service)
Series statement
  • Universitext,
  • Springer eBooks
http://library.link/vocab/subjectName
  • Mathematics
  • Differential equations
  • Differential equations, Partial
  • Distribution (Probability theory)
Label
A Course on Rough Paths : With an Introduction to Regularity Structures, by Peter K. Friz, Martin Hairer, (electronic resource)
Link
https://eui.idm.oclc.org/login?url=http://dx.doi.org/10.1007/978-3-319-08332-2
Instantiates
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier.
Color
not applicable
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Contents
Introduction -- The space of rough paths -- Brownian motion as a rough path -- Integration against rough paths -- Stochastic integration and Itˆo's formula -- Doob--Meyer type decomposition for rough paths -- Operations on controlled rough paths -- Solutions to rough differential equations -- Stochastic differential equations -- Gaussian rough paths -- Cameron--Martin regularity and applications -- Stochastic partial differential equations -- Introduction to regularity structures -- Operations on modelled distributions -- Application to the KPZ equation
Control code
978-3-319-08332-2
Dimensions
unknown
Extent
XIV, 251 pages 2 illustrations
File format
multiple file formats
Form of item
electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9783319083322
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia.
Media type code
  • c
Other control number
10.1007/978-3-319-08332-2
Other physical details
online resource.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)890462092
Label
A Course on Rough Paths : With an Introduction to Regularity Structures, by Peter K. Friz, Martin Hairer, (electronic resource)
Link
https://eui.idm.oclc.org/login?url=http://dx.doi.org/10.1007/978-3-319-08332-2
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier.
Color
not applicable
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Contents
Introduction -- The space of rough paths -- Brownian motion as a rough path -- Integration against rough paths -- Stochastic integration and Itˆo's formula -- Doob--Meyer type decomposition for rough paths -- Operations on controlled rough paths -- Solutions to rough differential equations -- Stochastic differential equations -- Gaussian rough paths -- Cameron--Martin regularity and applications -- Stochastic partial differential equations -- Introduction to regularity structures -- Operations on modelled distributions -- Application to the KPZ equation
Control code
978-3-319-08332-2
Dimensions
unknown
Extent
XIV, 251 pages 2 illustrations
File format
multiple file formats
Form of item
electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9783319083322
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia.
Media type code
  • c
Other control number
10.1007/978-3-319-08332-2
Other physical details
online resource.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)890462092

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