Introduction to rough paths theory

DOI10.21711/231766362023/RMC583MaRDI QIDQ6425948zbMATH OpenOpenAlexFDO

Authors Mazyar Ghani Varzaneh, Sebastian Riedel

Publication date 9 February 2023

Full work available at URL https://doi.org/10.21711/231766362023/rmc583

Mathematics Subject Classification ID

Rough paths (60L20)

Abstract: These notes are an extended version of the course ``Introduction to rough paths theory given at the XXV Brazilian School of Probability in Campinas in August 2022. Their aim is to give a consise overview to Lyon's theory of rough paths with a special focus on applications to stochastic differential equations.

Recommendations

• Differential equations driven by rough paths. Ecole d'Eté de Probabilités de Saint-Flour XXXIV -- 2004. Lectures given at the 34th probability summer school, July 6--24, 2004.
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Cited in

(3)

• Rough paths and SPDE
• Singular stochastic delay equations driven by fractional Brownian motion: dynamics, longtime behaviour, and pathwise stability
• An integrable bound for semilinear rough partial differential equations with unbounded diffusion coefficients

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