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Peter Friz

2011-07-14
12:05:00 - 12:35:00

國際會議廳 , Astronomy and Mathematics Building

We will explain the basics of rough path analysis [5,3] with some focus on random rough paths associated to Gaussian processes. Applications include non-Markovian Hoermander theory [2] and some new ways to deals with stochastic partial differential quations [1,4].

[1] M. Caruana, P. Friz, H. Oberhauser: A (rough) pathwise approach to a class of nonlinear SPDEs Annales de l'Institut Henri Poincaré / Analyse non linéaire 28 (2011), pp. 27-46

[2] T. Cass, P. Friz: Densities for RDEs under Hoermander's Condition, Annals of Mathematics, 171 (3), 2010 no. 3)

[3] P. Friz, N. Victoir: Multidimensional Stochastic Processes as Rough Paths. Theory and Applications, Cambridge Studies of Advanced Mathematics Vol. 120, Cambridge University Press, 2010.

[4] M. Hairer: Rough Stochastic PDEs; CPAM (to appear)

[5] T. Lyons, Z. Qian: System Control And Rough Paths, Oxford Mathematical Monographs, Oxford University Press, 2003.

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