Abstract:

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).

Time:             Wednesdays 10:15-12
Auditorium:  HG G 43
Begins:          Wednesday, February 26, 2020.
 

M. Struwe