Multidimensional stochastic processes as rough paths :: theory and applications /
An introduction to rough path theory and its applications to stochastic analysis, written for graduate students and researchers.
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1. Verfasser: | |
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Format: | Elektronisch E-Book |
Sprache: | English |
Veröffentlicht: |
Cambridge, UK ; New York :
Cambridge University Press,
2010.
|
Schriftenreihe: | Cambridge studies in advanced mathematics ;
120. |
Schlagworte: | |
Online-Zugang: | Volltext |
Zusammenfassung: | An introduction to rough path theory and its applications to stochastic analysis, written for graduate students and researchers. |
Beschreibung: | 1 online resource (xiv, 656 pages :) |
Bibliographie: | Includes bibliographical references (pages 638-651) and index. |
ISBN: | 9780511677540 0511677545 9780511682025 0511682026 9780511845079 0511845073 9780511680045 051168004X |
Internformat
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245 | 1 | 0 | |a Multidimensional stochastic processes as rough paths : |b theory and applications / |c Peter K. Friz, Nicolas B. Victoir. |
260 | |a Cambridge, UK ; |a New York : |b Cambridge University Press, |c 2010. | ||
300 | |a 1 online resource (xiv, 656 pages :) | ||
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490 | 1 | |a Cambridge studies in advanced mathematics ; |v 120 | |
504 | |a Includes bibliographical references (pages 638-651) and index. | ||
588 | 0 | |a Print version record. | |
505 | 0 | |a Introduction -- The story in a nutshell -- Continuous paths of bounded variation -- Riemann-Stieltjes integration -- Ordinary differential equations -- ODEs : smoothness -- Variation and Hölder spaces -- Young integration -- Free nilpotent groups -- Variation and Hölder spaces on free groups -- Geometric rough path spaces -- Rough differential equations -- RDEs : smoothness -- RDEs with drift and other topics -- Brownian motion -- Continuous (semi- )martingales -- Gaussian processes -- Markov processes -- Stochastic differential equations and stochastic flows -- Stochastic Taylor expansions -- Support theorem and large deviations -- Malliavin calculus for RDEs -- Appendix A: Sample paths regularity and related topics -- Appendix B: Banach calculus -- Appendix C: Large deviations -- Appendix D: Gaussian analysis -- Appendix E: Analysis on local Dirichlet spaces. | |
520 | 8 | |a An introduction to rough path theory and its applications to stochastic analysis, written for graduate students and researchers. | |
650 | 0 | |a Stochastic difference equations. |0 http://id.loc.gov/authorities/subjects/sh97003887 | |
650 | 0 | |a Stochastic processes. |0 http://id.loc.gov/authorities/subjects/sh85128181 | |
650 | 0 | |a Random measures. |0 http://id.loc.gov/authorities/subjects/sh94002187 | |
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650 | 7 | |a Stochastic difference equations |2 fast | |
650 | 7 | |a Stochastic processes |2 fast | |
650 | 7 | |a Stochastische Differentialgleichung |2 gnd |0 http://d-nb.info/gnd/4057621-8 | |
650 | 7 | |a Stochastischer Prozess |2 gnd | |
650 | 7 | |a Stochastische Analysis |2 gnd |0 http://d-nb.info/gnd/4132272-1 | |
650 | 7 | |a Stochastik |2 gnd |0 http://d-nb.info/gnd/4121729-9 | |
700 | 1 | |a Victoir, Nicolas B. |0 http://id.loc.gov/authorities/names/n2009073626 | |
758 | |i has work: |a Multidimensional stochastic processes as rough paths (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGC8D9gXyYgVPRj9pvqytX |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
776 | 0 | 8 | |i Print version: |a Friz, Peter K., 1974- |t Multidimensional stochastic processes as rough paths. |d Cambridge, UK ; New York : Cambridge University Press, 2010 |z 9780521876070 |w (DLC) 2009048605 |w (OCoLC)476360222 |
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adam_text | |
any_adam_object | |
author | Friz, Peter K., 1974- |
author2 | Victoir, Nicolas B. |
author2_role | |
author2_variant | n b v nb nbv |
author_GND | http://id.loc.gov/authorities/names/n2009073625 http://id.loc.gov/authorities/names/n2009073626 |
author_facet | Friz, Peter K., 1974- Victoir, Nicolas B. |
author_role | |
author_sort | Friz, Peter K., 1974- |
author_variant | p k f pk pkf |
building | Verbundindex |
bvnumber | localFWS |
callnumber-first | Q - Science |
callnumber-label | QA274 |
callnumber-raw | QA274.23 .F746 2010eb |
callnumber-search | QA274.23 .F746 2010eb |
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callnumber-subject | QA - Mathematics |
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collection | ZDB-4-EBA |
contents | Introduction -- The story in a nutshell -- Continuous paths of bounded variation -- Riemann-Stieltjes integration -- Ordinary differential equations -- ODEs : smoothness -- Variation and Hölder spaces -- Young integration -- Free nilpotent groups -- Variation and Hölder spaces on free groups -- Geometric rough path spaces -- Rough differential equations -- RDEs : smoothness -- RDEs with drift and other topics -- Brownian motion -- Continuous (semi- )martingales -- Gaussian processes -- Markov processes -- Stochastic differential equations and stochastic flows -- Stochastic Taylor expansions -- Support theorem and large deviations -- Malliavin calculus for RDEs -- Appendix A: Sample paths regularity and related topics -- Appendix B: Banach calculus -- Appendix C: Large deviations -- Appendix D: Gaussian analysis -- Appendix E: Analysis on local Dirichlet spaces. |
ctrlnum | (OCoLC)642206054 |
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dewey-raw | 519.2 |
dewey-search | 519.2 |
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dewey-tens | 510 - Mathematics |
discipline | Mathematik |
format | Electronic eBook |
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id | ZDB-4-EBA-ocn642206054 |
illustrated | Illustrated |
indexdate | 2024-10-25T16:17:33Z |
institution | BVB |
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series | Cambridge studies in advanced mathematics ; |
series2 | Cambridge studies in advanced mathematics ; |
spelling | Friz, Peter K., 1974- https://id.oclc.org/worldcat/entity/E39PBJdGPcHtrYjQGxyckq9kXd http://id.loc.gov/authorities/names/n2009073625 Multidimensional stochastic processes as rough paths : theory and applications / Peter K. Friz, Nicolas B. Victoir. Cambridge, UK ; New York : Cambridge University Press, 2010. 1 online resource (xiv, 656 pages :) text txt rdacontent computer c rdamedia online resource cr rdacarrier Cambridge studies in advanced mathematics ; 120 Includes bibliographical references (pages 638-651) and index. Print version record. Introduction -- The story in a nutshell -- Continuous paths of bounded variation -- Riemann-Stieltjes integration -- Ordinary differential equations -- ODEs : smoothness -- Variation and Hölder spaces -- Young integration -- Free nilpotent groups -- Variation and Hölder spaces on free groups -- Geometric rough path spaces -- Rough differential equations -- RDEs : smoothness -- RDEs with drift and other topics -- Brownian motion -- Continuous (semi- )martingales -- Gaussian processes -- Markov processes -- Stochastic differential equations and stochastic flows -- Stochastic Taylor expansions -- Support theorem and large deviations -- Malliavin calculus for RDEs -- Appendix A: Sample paths regularity and related topics -- Appendix B: Banach calculus -- Appendix C: Large deviations -- Appendix D: Gaussian analysis -- Appendix E: Analysis on local Dirichlet spaces. An introduction to rough path theory and its applications to stochastic analysis, written for graduate students and researchers. Stochastic difference equations. http://id.loc.gov/authorities/subjects/sh97003887 Stochastic processes. http://id.loc.gov/authorities/subjects/sh85128181 Random measures. http://id.loc.gov/authorities/subjects/sh94002187 Équations aux différences stochastiques. Processus stochastiques. Mesures aléatoires. MATHEMATICS Probability & Statistics General. bisacsh Random measures fast Stochastic difference equations fast Stochastic processes fast Stochastische Differentialgleichung gnd http://d-nb.info/gnd/4057621-8 Stochastischer Prozess gnd Stochastische Analysis gnd http://d-nb.info/gnd/4132272-1 Stochastik gnd http://d-nb.info/gnd/4121729-9 Victoir, Nicolas B. http://id.loc.gov/authorities/names/n2009073626 has work: Multidimensional stochastic processes as rough paths (Text) https://id.oclc.org/worldcat/entity/E39PCGC8D9gXyYgVPRj9pvqytX https://id.oclc.org/worldcat/ontology/hasWork Print version: Friz, Peter K., 1974- Multidimensional stochastic processes as rough paths. Cambridge, UK ; New York : Cambridge University Press, 2010 9780521876070 (DLC) 2009048605 (OCoLC)476360222 Cambridge studies in advanced mathematics ; 120. http://id.loc.gov/authorities/names/n84708314 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=313323 Volltext CBO01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=313323 Volltext |
spellingShingle | Friz, Peter K., 1974- Multidimensional stochastic processes as rough paths : theory and applications / Cambridge studies in advanced mathematics ; Introduction -- The story in a nutshell -- Continuous paths of bounded variation -- Riemann-Stieltjes integration -- Ordinary differential equations -- ODEs : smoothness -- Variation and Hölder spaces -- Young integration -- Free nilpotent groups -- Variation and Hölder spaces on free groups -- Geometric rough path spaces -- Rough differential equations -- RDEs : smoothness -- RDEs with drift and other topics -- Brownian motion -- Continuous (semi- )martingales -- Gaussian processes -- Markov processes -- Stochastic differential equations and stochastic flows -- Stochastic Taylor expansions -- Support theorem and large deviations -- Malliavin calculus for RDEs -- Appendix A: Sample paths regularity and related topics -- Appendix B: Banach calculus -- Appendix C: Large deviations -- Appendix D: Gaussian analysis -- Appendix E: Analysis on local Dirichlet spaces. Stochastic difference equations. http://id.loc.gov/authorities/subjects/sh97003887 Stochastic processes. http://id.loc.gov/authorities/subjects/sh85128181 Random measures. http://id.loc.gov/authorities/subjects/sh94002187 Équations aux différences stochastiques. Processus stochastiques. Mesures aléatoires. MATHEMATICS Probability & Statistics General. bisacsh Random measures fast Stochastic difference equations fast Stochastic processes fast Stochastische Differentialgleichung gnd http://d-nb.info/gnd/4057621-8 Stochastischer Prozess gnd Stochastische Analysis gnd http://d-nb.info/gnd/4132272-1 Stochastik gnd http://d-nb.info/gnd/4121729-9 |
subject_GND | http://id.loc.gov/authorities/subjects/sh97003887 http://id.loc.gov/authorities/subjects/sh85128181 http://id.loc.gov/authorities/subjects/sh94002187 http://d-nb.info/gnd/4057621-8 http://d-nb.info/gnd/4132272-1 http://d-nb.info/gnd/4121729-9 |
title | Multidimensional stochastic processes as rough paths : theory and applications / |
title_auth | Multidimensional stochastic processes as rough paths : theory and applications / |
title_exact_search | Multidimensional stochastic processes as rough paths : theory and applications / |
title_full | Multidimensional stochastic processes as rough paths : theory and applications / Peter K. Friz, Nicolas B. Victoir. |
title_fullStr | Multidimensional stochastic processes as rough paths : theory and applications / Peter K. Friz, Nicolas B. Victoir. |
title_full_unstemmed | Multidimensional stochastic processes as rough paths : theory and applications / Peter K. Friz, Nicolas B. Victoir. |
title_short | Multidimensional stochastic processes as rough paths : |
title_sort | multidimensional stochastic processes as rough paths theory and applications |
title_sub | theory and applications / |
topic | Stochastic difference equations. http://id.loc.gov/authorities/subjects/sh97003887 Stochastic processes. http://id.loc.gov/authorities/subjects/sh85128181 Random measures. http://id.loc.gov/authorities/subjects/sh94002187 Équations aux différences stochastiques. Processus stochastiques. Mesures aléatoires. MATHEMATICS Probability & Statistics General. bisacsh Random measures fast Stochastic difference equations fast Stochastic processes fast Stochastische Differentialgleichung gnd http://d-nb.info/gnd/4057621-8 Stochastischer Prozess gnd Stochastische Analysis gnd http://d-nb.info/gnd/4132272-1 Stochastik gnd http://d-nb.info/gnd/4121729-9 |
topic_facet | Stochastic difference equations. Stochastic processes. Random measures. Équations aux différences stochastiques. Processus stochastiques. Mesures aléatoires. MATHEMATICS Probability & Statistics General. Random measures Stochastic difference equations Stochastic processes Stochastische Differentialgleichung Stochastischer Prozess Stochastische Analysis Stochastik |
url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=313323 |
work_keys_str_mv | AT frizpeterk multidimensionalstochasticprocessesasroughpathstheoryandapplications AT victoirnicolasb multidimensionalstochasticprocessesasroughpathstheoryandapplications |