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arXiv · 1602.03255

Rough path theory and stochastic calculus

Yuzuru Inahama
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Abstract

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.

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Yuzuru Inahama. 2016-02-10. Rough path theory and stochastic calculus. https://arxiv.org/abs/1602.03255

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