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A Course on Rough Paths: With an Introduction to Regularity Structures
Introduction.- The space of rough paths.- Brownian motion as a rough path.- Integration against rough paths.- Stochastic integration and Itˆo's formula.- Doob-Meyer type decomposition for rough paths.- Operations on controlled rough paths.- Solutions to rough differential equations.- Stochastic differential equations.- Gaussian rough paths.- Cameron-Martin regularity and applications.- Stochastic partial differential equations.- Introduction to regularity structures.- Operations on modelled distributions.- Application to the KPZ equation.
265 pages, Paperback
First published October 3, 2014
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