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| HAL : inria-00419931, version 1 |
| Voir la fiche détaillée |  BibTeX,EndNote,... |
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| A short introduction to rough paths: outline and selected bibliography |
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| Antoine Lejay 1, 2 |
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| (2009) |
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| Outline of a mini-course (4h30) on rough paths theory given at the Workshop on Long Range Dependence: from Fractional Calculus to Financial Applications, in the Taras Schevchenko University, Kiev, in September 2009. This outline contains a selected bibliography on the general theory and on stochastic differential equations driven by fractional Brownian motions seen as rough paths. |
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| 1 : | Institut Elie Cartan Nancy (IECN) |
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CNRS : UMR7502 – INRIA – Université Henri Poincaré - Nancy I – Université Nancy II – Institut National Polytechnique de Lorraine |
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| 2 : | TOSCA (INRIA Sophia Antipolis / INRIA Lorraine / IECN) |
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INRIA – CNRS : UMR7502 – Université Henri Poincaré - Nancy I – Université Nancy II – Institut National Polytechnique de Lorraine |
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| Probabilités et statistique |
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| Domaine | : | Mathématiques/Probabilités Mathématiques/Analyse classique |
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| rough paths – fractional Brownian motion – Gaussian process – rough differential equations – Young integrals – controlled differential equations – stochastic differential equtions driven by fractional Brownian motion |
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| Liste des fichiers attachés à ce document : | |||||
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| inria-00419931, version 1 | |
| http://hal.inria.fr/inria-00419931 | |
| oai:hal.inria.fr:inria-00419931 | |
| Contributeur : Antoine Lejay | |
| Soumis le : Vendredi 25 Septembre 2009, 15:54:08 | |
| Dernière modification le : Vendredi 9 Avril 2010, 10:13:12 | |
