Skip to Main content Skip to Navigation
Book sections

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.
Complete list of metadata

Cited literature [48 references]  Display  Hide  Download
Contributor : Antoine Lejay <>
Submitted on : Wednesday, February 25, 2009 - 2:12:55 PM
Last modification on : Thursday, February 25, 2021 - 10:54:05 AM
Long-term archiving on: : Monday, April 5, 2010 - 11:57:09 PM


Files produced by the author(s)




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⟩



Record views


Files downloads