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A short introduction to rough paths: outline and selected bibliography

Antoine Lejay 1, 2
2 TOSCA
INRIA Lorraine, CRISAM - Inria Sophia Antipolis - Méditerranée , UHP - Université Henri Poincaré - Nancy 1, Université Nancy 2, INPL - Institut National Polytechnique de Lorraine, CNRS - Centre National de la Recherche Scientifique : UMR7502
Abstract : Outline of a mini-course (4h30) on rough paths theory given at the Workshop on Long Range Dependence: from Fractional Calculus to Financial Applications, in the Taras Schevchenko University, Kiev, in September 2009. This outline contains a selected bibliography on the general theory and on stochastic differential equations driven by fractional Brownian motions seen as rough paths.
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https://hal.inria.fr/inria-00419931
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Submitted on : Friday, September 25, 2009 - 3:54:08 PM
Last modification on : Tuesday, May 18, 2021 - 2:32:03 PM
Long-term archiving on: : Wednesday, June 16, 2010 - 12:08:03 AM

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Antoine Lejay. A short introduction to rough paths: outline and selected bibliography. 2009. ⟨inria-00419931⟩

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