Atul Shekhar: Introduction to Rough Path theory
Time: Mon 2015-03-09 10.15 - 11.15
Location: Room 3721, Lindstedtsvägen 25, 7th floor, Department of mathematics, KTH
Participating: Atul Shekhar, TU Berlin
Rough Path theory was introduced by T. Lyons in order to make sense of calculus based on paths which are very irregular and classical theory fails to apply, for example, Brownian motion. A pathwise notion of integration, called rough integration, will be defined and it will be shown that it matches with classical Ito integration. The theory applies to many other (non-martingale) stochastic processes, e.g., fractional Brownian motion. Such pathwise understanding comes with many applications such as stability results for SDE under smooth approximations of noise.
In a recent work by M. Hairer, idea of rough path theory was to used to give natural solution concepts to many degenerate SPDE's like the Kardar-Parisi-Zhang (KPZ) equation.
This talk intends to give a mild introduction to the subject.