Advanced Studies in Pure Mathematics

Rough path analysis: An introduction

Shigeki Aida

Full-text: Open access

Abstract

We explain basic results in rough path analysis and their applications in stochastic analysis.

Article information

Source
Probabilistic Approach to Geometry, M. Kotani, M. Hino and T. Kumagai, eds. (Tokyo: Mathematical Society of Japan, 2010), 1-28

Dates
Received: 15 January 2009
Revised: 22 April 2009
First available in Project Euclid: 24 November 2018

Permanent link to this document
https://projecteuclid.org/ euclid.aspm/1543086309

Digital Object Identifier
doi:10.2969/aspm/05710001

Mathematical Reviews number (MathSciNet)
MR2605408

Zentralblatt MATH identifier
1200.60043

Subjects
Primary: 34F05: Equations and systems with randomness [See also 34K50, 60H10, 93E03] 60H05: Stochastic integrals 60H10: Stochastic ordinary differential equations [See also 34F05] 93E03: Stochastic systems, general

Keywords
Rough path stochastic differential equation

Citation

Aida, Shigeki. Rough path analysis: An introduction. Probabilistic Approach to Geometry, 1--28, Mathematical Society of Japan, Tokyo, Japan, 2010. doi:10.2969/aspm/05710001. https://projecteuclid.org/euclid.aspm/1543086309


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