inria-00102184, version 1
An Introduction to Rough Paths
Antoine Lejay
a, 1, 2
Seminaire de Probabilités XXXVII Springer Berlin / Heidelberg (Ed.) (2003) 1-59
Résumé : This article aims to be an introduction to the theory of rough paths, in which integrals of differential forms against irregular paths and differential equations controlled by irregular paths are defined. This theory makes use of an extension of the notion of iterated integrals of the paths, whose algebraic properties appear to be fundamental. This theory is well-suited for stochastic processes.
- a – INRIA
- 1 : Institut Elie Cartan Nancy (IECN)
- CNRS : UMR7502 – INRIA – Université Henri Poincaré - Nancy I – Université Nancy II – Institut National Polytechnique de Lorraine (INPL)
- 2 : OMEGA (INRIA Sophia Antipolis / INRIA Lorraine / IECN)
- CNRS : UMR7502 – INRIA – Université Henri Poincaré - Nancy I – Université Nancy II
- Domaine : Mathématiques/Probabilités
Mathématiques/Analyse classique - Mots-clés : controlled differential equations – integration against irregular paths – p-variation – stochastic processes – iterated integrals – Chen series – geometric multiplicative functional
- inria-00102184, version 1
- http://hal.inria.fr/inria-00102184
- oai:hal.inria.fr:inria-00102184
- Contributeur : Antoine Lejay
- Soumis le : Mercredi 25 Février 2009, 14:12:55
- Dernière modification le : Mercredi 25 Février 2009, 14:36:16
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