User:Sebastian.riedel/draft article on rough paths theory
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Rough paths theory was developed by Terry Lyons in the early 1990 in a series of articles[1][2].
Overview and history[edit]
Rough paths theory and stochastic analysis[edit]
Allows for pathwise stochastic calculus in several dimensions (even in Banach spaces), example: Stratonovich SDE, advantage over Ito's theory: strong regularity of the Ito-Lyons map
Brownian motion sample paths seen as rough paths[edit]
Lift of a Brownian motion, connection to Stratonovich integration, continuity of Ito-Lyons map may be used to prove support theorem, Freidlin-Wentzel large deviations, Wong-Zakai theorem
Other Stochastic processes[edit]
Pathwise stochastic calculus possible for:
Gaussian processes[edit]
prime example: fractional Brownian motion, Hoermander theory, application in SPDE theory
Markov processes[edit]
Semimartingales[edit]
Levy processes[edit]
Rough paths spaces[edit]
path plus some extra information defines rough path, extra information: iterated integrals, levy-area
Geometric rough paths[edit]
rough paths as paths in a Lie-group
Controlled paths[edit]
Gubinelli
References[edit]
- ^ Lyons, T.; Qian, Z. (1997). "Flow Equations on Spaces of Rough Paths". Journal of Functional Analysis. 149: 135. doi:10.1006/jfan.1996.3088.
- ^ Lyons, T. (1998). "Differential equations driven by rough signals". Revista Matemática Iberoamericana: 215–310. doi:10.4171/RMI/240.