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CATEGORIES:Cambridge Centre for Analysis talks
SUMMARY:Rough Paths and Regularity Structures - Prof P. K.
  Friz (TU and WIAS\, Berlin)
DTSTART;TZID=Europe/London:20150423T140000
DTEND;TZID=Europe/London:20150423T150000
UID:TALK54940AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/54940
DESCRIPTION:Rough path analysis has provided new insights in t
 he analysis of stochastic dierential equations an
 d stochastic partial dierential equations. When a
 pplied to stochastic systems\, rough path analysis
  provides a means to construct a pathwise solution
  theory which\, in many respects\, behaves much li
 ke the theory of deterministic dierential equatio
 ns and provides a clean break between analytical a
 nd probabilistic arguments. It provides a toolbox 
 allowing to recover many classical results without
  using specic probabilistic properties such as pr
 edictability or the martingale property. The study
  of stochastic PDEs has recently led to a signica
 nt extension\, Hairer’s theory of regularity struc
 tures\, and the second half of this course is devo
 ted to a gentle introduction.\n\nPre-requisite Mat
 hematics\n\n* Upper undergraduate analysis\, inter
 est (and a little maturity) in stochastic analysis
 .\n\nLiterature\n\n1. Terry J. Lyons\, Michael Car
 uana\, and Thierry Levy\, Dierential equations dr
 iven by rough paths\, Lecture Notes in Mathematics
 \, vol. 1908\, Springer\, Berlin\, 2007\n\n2. Pete
 r K. Friz\, Nicolas Victoir\, Multidimensional sto
 chastic processes as rough paths\, Cambridge Studi
 es in Advanced Mathematics\, vol. 120\, Cambridge 
 University Press\, Cambridge\, 2010\n\n3. Peter K.
  Friz and Martin Hairer\, A course on rough paths:
  With an introduction to regularity structures\, S
 pringer Universitext\, 2014.\n\n4. Martin Hairer\,
  A theory of regularity structures\, Inventiones m
 athematicae (2014)\, 1-236
LOCATION:MR14
CONTACT:CCA
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