Introduction to rough paths theory
Mazyar Ghani Varzaneh, Sebastian Riedel
TL;DR
This paper provides a concise overview of Lyons' rough paths theory, emphasizing its applications to stochastic differential equations, suitable for readers seeking foundational understanding of the subject.
Contribution
It offers an accessible introduction to rough paths theory with a focus on practical applications in stochastic differential equations.
Findings
Clarifies core concepts of rough paths theory
Highlights applications to stochastic differential equations
Serves as educational material for new learners
Abstract
These notes are an extended version of the course "Introduction to rough paths theory" given at the XXV Brazilian School of Probability in Campinas in August 2022. Their aim is to give a consise overview to Lyon's theory of rough paths with a special focus on applications to stochastic differential equations.
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Taxonomy
TopicsStochastic processes and financial applications