Name: multidimensional stochastic processes as rough paths,theory and applications (en Inglés)
Price: 146840.00 CLP
Availability: InStock
Author: Friz, Peter K. ; Victoir, Nicolas B.
ISBN: 9780521876070

portada multidimensional stochastic processes as rough paths,theory and applications (en Inglés)

Formato

Libro Físico

Autor

Peter K. Friz

Nicolas B. Victoir

Editorial

Cambridge University Press

Idioma

Inglés

N° páginas

656

Encuadernación

Tapa Dura

Dimensiones

22.9 x 15.5 x 3.8 cm

Peso

1.00 kg.

ISBN

9780521876070

ISBN13

9780521876070

Categorías

Estocástica

multidimensional stochastic processes as rough paths,theory and applications (en Inglés)

Peter K. Friz (Autor) · Nicolas B. Victoir (Autor) · Cambridge University Press · Tapa Dura

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Reseña del libro "multidimensional stochastic processes as rough paths,theory and applications (en Inglés)"

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 explanations. Evidence is building that rough paths will play an important role in the future analysis of stochastic partial differential equations and the authors include some first results in this direction. They also emphasize interactions with other parts of mathematics, including Caratheodory geometry, Dirichlet forms and Malliavin calculus. Based on successful courses at the graduate level, this up-to-date introduction presents the theory of rough paths and its applications to stochastic analysis. Examples, explanations and exercises make the book accessible to graduate students and researchers from a variety of fields.