A short introduction to rough paths: outline and selected bibliography

Antoine Lejay (1, 2)

1 IECN - Institut Élie Cartan de Nancy
2 TOSCA - Simuler et calibrer des modèles stochastiques

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.

Mots clés: rough paths; fractional Brownian motion; Gaussian process; rough differential equations; Young integrals; controlled differential equations; stochastic differential equtions driven by fractional Brownian motion

Domaines: Probabilités [math.PR]; Analyse classique [math.CA]

Antoine Lejay. A short introduction to rough paths: outline and selected bibliography. 2009. ⟨inria-00419931⟩