Past lectures
Rough Analysis and Applications
Prof. Dr.
Peter K.
Friz
Technische Universität and Weierstraß-Institut Berlin
February 26 -
May 27, 2020
Date and time: Wednesdays, 10:15 - 12:00
Location: HG G 43
Resources
Video recordingsAbstract
We plan to discuss: the algebra of iterated integrals, signatures and expected signatures, rough paths and models; Kolmogorov type criteria; Schauder estimates; p-variation, abstract Riemann-Stieltjes integration (Sewing); rough integration and reconstruction; a paracontrolled view; rough differential equations and flows; rough transport equations; second order rough partial differential equations; rough volatility; a regularity structure view; large deviations and precise asymptotics for rough volatility.
A good part of the lecture will follow F-Hairer (2014,2020).