Introduction to rough paths theory

2023/02/09 by Mazyar Ghani Varzaneh, Sebastian Riedel, Varzaneh, Mazyar Ghani +1
Economics, Econometrics and Finance · #60L20 #FOS: Mathematics #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2302.04653

openalex publication_date 2023/02/09 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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.

Related

• Rough path theory and stochastic calculus
• A flow-based approach to rough differential equations
• Solving rough differential equations with the theory of regularity structures
• On nonlinear rough paths
• Rough stochastic differential equations