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Applications of Rough Paths Theory
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Applications of Rough Paths Theory
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Academic year 2017/2018
- Teacher
- Prof. Enrico Priola (Lecturer)
- Type
- Basic
- Credits/Recognition
- 3 CFU
- Course disciplinary sector (SSD)
- MAT/05 - analisi matematica
- Delivery
- Formal authority
- Language
- Italian
- Attendance
- Obligatory
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Sommario del corso
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Course objectives
It is an advanced course on rough path theory with applications to Stochastic Differential Equations.
[The notion of rough paths was introduced in a paper by T. Lyons in 1998. This article lays the foundations of a now well-established theory at the crossroads between analysis, control theory and stochastic calculus, which produces a new kind of 'weak' solutions of differential equations possessing only a Holder regularity]- Oggetto:
Program
We will deal with some chapters of the book "A Course on Rough Paths With an Introduction to Regularity Structures" by Friz, Peter K., Hairer, Martin (see in particular Chapters 8 and 9).
Suggested readings and bibliography
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- "A Course on Rough Paths With an Introduction to Regularity Structures" by Friz, Peter K., Hairer, Martin.
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Note
Period: from 30th October, 2017.Duration: 10/15h (3 CFU).- Oggetto:
