Multidimensional Stochastic Processes as Rough Paths: Theory and Applications (BOK)

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 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.

Produktfakta

Språk Engelsk Engelsk Innbinding Innbundet
Utgitt 2010 Forfatter Nicolas B. Victoir, Peter K. Friz
Forlag
CAMBRIDGE UNIVERSITY PRESS
ISBN 9780521876070
Antall sider 670 Dimensjoner 15,2cm x 22,8cm x 3,8cm
Vekt 1600 gram Leverandør Bertram Trading Ltd
Emner og form Calculus & mathematical analysis