A short introduction to rough paths: outline and selected bibliography
Résumé
Outline of a mini-course (4h30) on rough paths theory given at the Workshop on Long Range Dependence: from Fractional Calculus to Financial Applications, in the Taras Schevchenko University, Kiev, in September 2009. This outline contains a selected bibliography on the general theory and on stochastic differential equations driven by fractional Brownian motions seen as rough paths.
Origine | Fichiers produits par l'(les) auteur(s) |
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