Some distance bounds for rough paths, and applications to Gaussian processes

Stochastic Analysis Seminar Series

Rough path theory provides a robust way of integrating (against) paths whose regularities are below the scope of the Young's integration. To do this, one usually first needs to specify "higher order" terms of such paths, and different choices of these higher levels will result in different answers. On the other hand, Gaussian processes have a rare property that with much worse regularity than the Young case, the sample paths still have a natural choice for all higher levels. In this talk, we will discuss some distance bound estimates for these "higher levels", and see how they can be applied to certain problems involving generic Gaussian processes. Based on joint works with T.Lyons and S.Riedel.


Weijun Xu (Oxford)

Monday, October 29, 2012 - 15:45
to 16:45