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Peter K. Friz Nicolas B. Multidimensional Stochastic Processes as Rou (Hardback)

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Item specifics

Condition
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Book Title
Multidimensional Stochastic Processes as Rough Paths
Title
Multidimensional Stochastic Processes as Rough Paths
Subtitle
Theory and Applications
EAN
9780521876070
ISBN
9780521876070
Genre
Science Nature & Math
Release Year
2010
Release Date
04/02/2010
Country/Region of Manufacture
GB
Item Length
160mm
Publication Name
Multidimensional Stochastic Processes As Rough Paths: Theory and Applications
Publisher
Cambridge University Press
Subject
Mathematics
Publication Year
2010
Series
Cambridge Studies in Advanced Mathematics
Type
Textbook
Format
Hardcover
Language
English
Item Height
235 mm
Author
Nicolas B. Victoir, Peter K. Friz
Item Weight
1600 g
Item Width
160 mm
Number of Pages
670 Pages

About this product

Product Information

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.

Product Identifiers

Publisher
Cambridge University Press
ISBN-13
9780521876070
eBay Product ID (ePID)
86602211

Product Key Features

Number of Pages
670 Pages
Language
English
Publication Name
Multidimensional Stochastic Processes As Rough Paths: Theory and Applications
Publication Year
2010
Subject
Mathematics
Type
Textbook
Author
Nicolas B. Victoir, Peter K. Friz
Series
Cambridge Studies in Advanced Mathematics
Format
Hardcover

Dimensions

Item Height
235 mm
Item Weight
1600 g
Item Width
160 mm

Additional Product Features

Country/Region of Manufacture
United Kingdom
Title_Author
Nicolas B. Victoir, Peter K. Friz

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