An example driven introduction to probabilistic rough paths
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Publication:6370608
arXiv2106.09801MaRDI QIDQ6370608FDOQ6370608
Authors: François Delarue, William Salkeld 
Publication date: 17 June 2021
Abstract: In these notes, we provide an introduction to a new regularity structure used for solving rough mean-field equations. The index set of this regularity structure is described a collection of novel objects which we refer to as Lions trees. These objects arise in Taylor expansions involving the Lions derivative and capture many of the desirable properties of mean-field dynamics. This work represents a comprehensive generalisation of the ideas first introduced in [BCD20] that promise powerful insights into how interactions with a collective determine the dynamics of an individual within this collective.
Probability theory and stochastic processes (60-XX) Hopf algebras and their applications (16T05) Derivatives of functions in infinite-dimensional spaces (46G05) Regularity structures (60L30) Rough analysis (60Lxx)
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