Grad Student/Postdoc Seminar

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 Ito-map 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.