401-4611-66L  Rough Path Theory and Regularity Structures

SemesterAutumn Semester 2016
LecturersJ. Teichmann, D. Prömel
Periodicitynon-recurring course
Language of instructionEnglish



Courses

NumberTitleHoursLecturers
401-4611-66 VRough Path Theory and Regularity Structures3 hrs
Tue10:15-12:00HG E 33.3 »
Thu13:15-14:00ML F 40 »
J. Teichmann, D. Prömel

Catalogue data

AbstractThe course provides an introduction to the theory of controlled rough paths with focus on stochastic differential equations. In parallel, Martin Hairer's new theory of regularity structures is introduced taking controlled rough paths as guiding examples. In particular, the course demonstrates how to use the theory of regularity structures to solve singular stochastic PDEs.
ObjectiveThe main goal is to develop simultaneously the basic concepts of rough path theory and Hairer's regularity structures.
Literature- Peter Friz and Martin Hairer, A Course on Rough Paths: With an Introduction to
Regularity Structures, Springer, 2014.
- Martin Hairer, Introduction to regularity structures, Braz. J. Probab. Stat. 29 (2015),
no. 2, 175-210.
- Peter Friz and Nicolas Victoir, Multidimensional stochastic processes as rough paths.
Theory and applications, Cambridge University Press, 2010.
- Martin Hairer, A theory of regularity structures, Inventiones mathematicae (2014), 1-236.
- Ajay Chandra and Hendrik Weber, Stochastic PDEs, Regularity Structures, and Inter-
acting Particle Systems, Preprint arXiv:1508.03616.
Prerequisites / NoticeRequirements: Brownian Motion and Stochastic Calculus

Performance assessment

Performance assessment information (valid until the course unit is held again)
Performance assessment as a semester course
ECTS credits6 credits
ExaminersJ. Teichmann, D. Prömel
Typesession examination
Language of examinationEnglish
RepetitionThe performance assessment is offered every session. Repetition possible without re-enrolling for the course unit.
Mode of examinationoral 20 minutes
This information can be updated until the beginning of the semester; information on the examination timetable is binding.

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Offered in

ProgrammeSectionType
Mathematics MasterSelection: Probability Theory, StatisticsWInformation