Abstract : 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.
J. Azéma; M. Ledoux; M. Emery; M. Yor. Seminaire de Probabilités XXXVII, 1832 (1832), Springer Berlin / Heidelberg, pp.1-59, 2003, Lecture Notes in Mathematics, 978-3-540-20520-3. 〈10.1007/b94376〉
https://hal.inria.fr/inria-00102184
Contributeur : Antoine Lejay
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Soumis le : mercredi 25 février 2009 - 14:12:55
Dernière modification le : samedi 27 janvier 2018 - 01:31:53
Document(s) archivé(s) le : lundi 5 avril 2010 - 23:57:09
Antoine Lejay. An Introduction to Rough Paths. J. Azéma; M. Ledoux; M. Emery; M. Yor. Seminaire de Probabilités XXXVII, 1832 (1832), Springer Berlin / Heidelberg, pp.1-59, 2003, Lecture Notes in Mathematics, 978-3-540-20520-3. 〈10.1007/b94376〉. 〈inria-00102184〉
