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Multidimensional Stochastic Processes as Rough Paths - Theory and Applications (Hardcover) Loot Price: R2,654
Discovery Miles 26 540
Multidimensional Stochastic Processes as Rough Paths - Theory and Applications (Hardcover): Peter K. Friz, Nicolas B. Victoir

Multidimensional Stochastic Processes as Rough Paths - Theory and Applications (Hardcover)

Peter K. Friz, Nicolas B. Victoir

Series: Cambridge Studies in Advanced Mathematics

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Loot Price R2,654 Discovery Miles 26 540 | Repayment Terms: R249 pm x 12*

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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.

General

Imprint: Cambridge UniversityPress
Country of origin: United Kingdom
Series: Cambridge Studies in Advanced Mathematics
Release date: February 2010
First published: April 2010
Authors: Peter K. Friz • Nicolas B. Victoir
Dimensions: 235 x 160 x 38mm (L x W x T)
Format: Hardcover
Pages: 670
ISBN-13: 978-0-521-87607-0
Categories: Books > Science & Mathematics > Mathematics > Calculus & mathematical analysis > Vector & tensor analysis
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LSN: 0-521-87607-9
Barcode: 9780521876070

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