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Integration against rough paths

  • Peter K. Friz
  • Martin Hairer
Chapter
  • 190 Downloads
Part of the Universitext book series (UTX)

Abstract

The aim of this chapter is to give a meaning to the expression R Yt dXt for a suitable class of integrands Y , integrated against a rough path X. We first discuss the case originally studied by Lyons where Y = F(X).

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Copyright information

© Springer Nature Switzerland AG 2020

Authors and Affiliations

  • Peter K. Friz
    • 1
    • 3
  • Martin Hairer
    • 2
  1. 1.Institut für MathematikTechnische Universität BerlinBerlinGermany
  2. 2.Department of MathematicsImperial College LondonLondonUK
  3. 3.Weierstraß-Institut für Angewandte Analysis und StochastikBerlinGermany

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