Multidimensional Stochastic Processes as Rough Paths pdf epub mobi txt 电子书下载 2024

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Peter K. Friz

Cambridge University Press

2010-2-4

670

GBP 79.99

Hardcover

Cambridge Studies in Advanced Mathematics

9780521876070

图书标签: 随机分析 Stochastics Probability Mathematics Finance

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发表于2024-11-08

Multidimensional Stochastic Processes as Rough Paths epub 下载 mobi 下载 pdf 下载 txt 电子书下载 2024

Multidimensional Stochastic Processes as Rough Paths pdf epub mobi txt 电子书下载 2024

图书描述

Rough path analysis provides a fresh perspective on Ito's important theory of stochastic differential equations. Key theorems of modern stochastic analysis (existence and limit theorems for stochastic flows, Freidlin-Wentzell theory, the Stroock-Varadhan support description) can be obtained with dramatic simplifications. Classical approximation results and their limitations (Wong-Zakai, McShane's counterexample) receive 'obvious' rough path explanations. Evidence is building that rough paths will play an important role in the future analysis of stochastic partial differential equations and the authors include some first results in this direction. They also emphasize interactions with other parts of mathematics, including Caratheodory geometry, Dirichlet forms and Malliavin calculus. Based on successful courses at the graduate level, this up-to-date introduction presents the theory of rough paths and its applications to stochastic analysis. Examples, explanations and exercises make the book accessible to graduate students and researchers from a variety of fields.

Multidimensional Stochastic Processes as Rough Paths 下载 mobi epub pdf txt 电子书