Minicourse on Stochastic Analysis via Rough Paths (Columbia, March 2008)     

P.Friz (Cambridge)

I. A brief course description can be download here as pdf and it also included below.

II. The lectures take place at Columbia University, Room 307 Math (lecture I) or 1025 Stats (lecture II+III), 1:10 - 2:25 pm on

    Tue-Thu, Mar 25-27 and Tue Apr 1.

    (You may wish to confirm times and location on the official seminar schedule.)

III. Lecture notes.

      Lecture 1, Lecture 2, Lecture 3

IV. Some references  

• P. Friz, N. Victoir: Multidimensional Stochastic Processes as Rough Paths. Theory and Applications, Cambridge University Press (near completion)
• T. Lyons: St. Flour Lectures on Rough Path Theory (very useful this link!)
• A.Lejay: An Introduction to Rough Paths
• T.Lyons, Z.Qian: System control and rough paths, Oxford Mathematical Monographs, Oxford Science Publications, Oxford University Press, Oxford, 2002
• T.Lyons: Differential equations driven by rough signals, Rev. Mat. Iberoamericana 14, no. 2, 215-310, 1998