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).
Auditorium: HG G 43
Begins: Wednesday, February 26, 2020.