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Rough path theory and applications t...

Friz, Peter K.

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Rough path theory and applications to stochastic analysis.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Rough path theory and applications to stochastic analysis./
Author:	Friz, Peter K.
Description:	120 p.
Notes:	Source: Dissertation Abstracts International, Volume: 64-12, Section: B, page: 6113.
Contained By:	Dissertation Abstracts International64-12B.
Subject:	Mathematics. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3114191
ISBN:	0496616846

Rough path theory and applications to stochastic analysis.
Friz, Peter K.

Rough path theory and applications to stochastic analysis. - 120 p.

Source: Dissertation Abstracts International, Volume: 64-12, Section: B, page: 6113.

Thesis (Ph.D.)--New York University, 2004.

Rough Path Theory a la Terry Lyons is a purely deterministic theory of differential equations driven by signals of very little regularity. In particular, it applies to Stochastic Differential Equations driven by Brownian Motion and allows powerf

ISBN: 0496616846Subjects--Topical Terms:

515831
Mathematics.

Rough path theory and applications to stochastic analysis.
LDR:01736nmm 2200301 4500 001 1841998
005 20050916110238.5
008 130614s2004 eng d
020 $a 0496616846
035 $a (UnM)AAI3114191
035 $a AAI3114191
040 $a UnM $c UnM
100 1 $a Friz, Peter K. $3 1930272
245 1 0 $a Rough path theory and applications to stochastic analysis.
300 $a 120 p.
500 $a Source: Dissertation Abstracts International, Volume: 64-12, Section: B, page: 6113.
500 $a Adviser: S. R. S. Varadhan.
502 $a Thesis (Ph.D.)--New York University, 2004.
520 $a Rough Path Theory a la Terry Lyons is a purely deterministic theory of differential equations driven by signals of very little regularity. In particular, it applies to Stochastic Differential Equations driven by Brownian Motion and allows powerf
520 $a In essence; Brownian Motion and Levy-area (Enhanced Brownian Motion) are identified as correct driving signals of SDEs. In addition. Lyons proved a continuity statement (Universal, Limit Theorem) in a p-variation-type topology.
520 $a We find that a more natural Holder-continuity follows from fine estimates in his work. A number of approximations to EBM are studied and they lead to a new straightforward proof of the classical Stroock-Varadhan Support Theorem for diffusions.
520 $a We also consider Large Deviations for EBM and construct exponentially good approximations based on Subriemannian Geodesics.
590 $a School code: 0146.
650 4 $a Mathematics. $3 515831
690 $a 0405
710 2 0 $a New York University. $3 515735
773 0 $t Dissertation Abstracts International $g 64-12B.
790 1 0 $a Varadhan, S. R. S., $e advisor
790 $a 0146
791 $a Ph.D.
792 $a 2004
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3114191