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An Introduction to Rough Paths

Antoine Lejay 1, 2
2 OMEGA - Probabilistic numerical methods
CRISAM - Inria Sophia Antipolis - Méditerranée , UHP - Université Henri Poincaré - Nancy 1, Université Nancy 2, CNRS - Centre National de la Recherche Scientifique : UMR7502
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.
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Submitted on : Wednesday, February 25, 2009 - 2:12:55 PM
Last modification on : Friday, February 4, 2022 - 3:23:21 AM
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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⟩



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