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http://hdl.handle.net/2445/120952
Title: | Rough path analysis: an introduction |
Author: | Cantero Guardeño, Juan Carlos |
Director/Tutor: | Sanz-Solé, Marta |
Keywords: | Anàlisi estocàstica Moviment brownià Treballs de fi de màster Teoremes de límit (Teoria de probabilitats) Analyse stochastique Brownian movements Master's theses Limit theorems (Probability theory) |
Issue Date: | 10-Sep-2016 |
Abstract: | [en] This master thesis gives an extensive introduction to the Rough Path Analysis theory presented by Terry Lyons in the late 90’s, which provides a pathwise approach to stochastic calculus. The most important result of this mathematical theory states the continuity of the Itô map with respect to a general control if we move to a new framework where the notion of path is substituted by these more involved objects: the rough paths, and the metric also becomes more complex. |
Note: | Treballs finals del Màster en Matemàtica Avançada, Facultat de matemàtiques, Universitat de Barcelona, Any: 2016, Director: Marta Sanz |
URI: | http://hdl.handle.net/2445/120952 |
Appears in Collections: | Màster Oficial - Matemàtica Avançada |
Files in This Item:
File | Description | Size | Format | |
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memoria.pdf | Memòria | 544.08 kB | Adobe PDF | View/Open |
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