October 3, 2003: Peter Friz, CIMS
Rough Path Theory and Applications to Stochastic Analysis
A recent theory by T. Lyons provides a deterministic view on
Stochastic Differential Equations. His main theorem states that the Itomap
is a continuous function of Brownian motion and its (Levy) area.
We give a short introduction to the subject and present a new
proof of the Support Theorem.
Link: www.ima.umn.edu/talks/workshops/72181.2003/
