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Rough Path Theory

Dr. Atul Shekar ISI, Bangalore
Dr. Atul Shekar ISI, Bangalore
When Feb 15, 2017
from 11:00 AM to 12:30 PM
Where LH 006
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Abstract:  We will develop Rough path theory of T. Lyons by extending on Young's calculus to study system of equations driven by irregular continuous curves. The theory of rough integration and rough differential equations will be presented. We will then give applications of the theory to the study of random systems. Particular examples will include stochastic differential equations driven by Brownian motion. We will then see generalizations of the theory adapted to study random partial differential equations.

It will be a basic course and no background will be assumed other than familiarity with basic algebra and analysis.


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