Integration against rough paths

Friz, Peter K.; Hairer, Martin

doi:10.1007/978-3-030-41556-3_4

Peter K. Friz^11,13 &
Martin Hairer¹²

Part of the book series: Universitext ((UTX))

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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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Authors and Affiliations

Institut für Mathematik, Technische Universität Berlin, Berlin, Berlin, Germany
Peter K. Friz
Department of Mathematics, Imperial College London, London, UK
Martin Hairer
Weierstraß-Institut für Angewandte Analysis und Stochastik, Berlin, Germany
Peter K. Friz

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Peter K. Friz
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Martin Hairer
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Friz, P.K., Hairer, M. (2020). Integration against rough paths. In: A Course on Rough Paths. Universitext. Springer, Cham. https://doi.org/10.1007/978-3-030-41556-3_4

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DOI: https://doi.org/10.1007/978-3-030-41556-3_4
Published: 28 May 2020
Publisher Name: Springer, Cham
Print ISBN: 978-3-030-41555-6
Online ISBN: 978-3-030-41556-3
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)

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