2016/02/10 by Yuzuru Inahama, Inahama, Yuzuru
Mathematics · #FOS: Mathematics #Probability (math.PR) #math.PR
paper · pdf · doi:10.48550/arxiv.1602.03255
This is an English translation of the author's survey article in Japanese. The original Japanese version was written in February--March 2014 and published in "Sugaku" in July 2015. This is going to appear in "Sugaku Expositions" from AMS
arxiv created 2016/02/10 · arxiv updated 2016/02/11
T. Lyons' rough path theory is something like a deterministic version of K. Ito's theory of stochastic differential equations, combined with ideas from K. T. Chen's theory of iterated path integrals. In this article we survey rough path theory, in particular, its probabilistic aspects.