Rough path theory and stochastic calculus

Inahama, Yuzuru

doi:10.1090/suga/440

Rough path theory and stochastic calculus
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by Yuzuru Inahama
Translated by: Yuzuru Inahama

Sugaku Expositions 32 (2019), 113-136

DOI: https://doi.org/10.1090/suga/440

Published electronically: March 21, 2019

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Abstract:

T. Lyons’ rough path theory is something like a deterministic version of K. Itô’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.

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