Rough path theory and stochastic calculus

Published 10 Feb 2016 in math.PR | (1602.03255v1)

Abstract: T. Lyons' rough path theory is something like a deterministic version of K. Ito's theory of stochastic differential equations, combined with ideas from K. T. Chen's theory of iterated path integrals. In this article we survey rough path theory, in particular, its probabilistic aspects.

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Authors (1)

Yuzuru Inahama

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