Short course on theory of rough paths by Dr. Christian Bayer (Weierstrass Institute)

Rough paths and rough partial differential equations

Terry Lyons' theory of rough paths provides a framework for a
deterministic solution theory for rough differential equations,
i.e., differential equations driven by a signal which is rougher
than 1/2-Hölder. This includes stochastic differential equations
of Ito or Stratonovich type. The theory is not restricted to
finite dimensional differential equations, but can also be
applied to partial differential equations driven by finite or
infinite dimensional signals. Moreover, the solution is generally
a continuous function of the input (rough) signal in rough path

In this mini-course we provide a short, condensed development of
the theory of rough paths. We consider the following topics:

1) Motivation and introduction
2) Rough path spaces
3) Integration against rough paths
4) Rough differential equations
5) Rough partial differential equations

Literature recommendation: Peter K. Friz and Martin Hairer: A
Course on Rough Paths, Springer, 2014.

Time and place:

First lecture: 13.15-15.00 on Monday, November 16th,
undervisningsrom 108 Niels Henrik Abels hus
Second lecture: 8.15-10.00 on Wednesday, November 18th,
undervisningsrom 107 Niels Henrik Abels hus
Tags: Rough path theory, stochastic analysis, differential equations
Published Nov. 9, 2015 11:11 AM - Last modified Nov. 9, 2015 11:11 AM