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401-5006-20L DR D-MATH

Rough Analysis and Applications

Lecturers: Prof. Dr. Peter Friz
VVZ CR n/a

Last Updated: 2026-02-05 15:41:22

Abstract

Nachdiplom lecture

Content

We plan to discuss: the algebra of iterated integrals, signatures and expec- ted signatures, rough paths and models; Kolmogorov type criteria; Schau- der estimates; p-​variation, abstract Riemann-​Stieltjes integration (Sewing); rough integration and reconstruction; a paracontrolled view; rough differenti- al equations and flows; rough transport equations; second order rough partial differential equations; rough volatility; a regularity structure view; large devi- ations and precise asymptotics for rough volatility. A good part of the lecture will follow F-​Hairer (2014,2020).

General Information

Language
English
Levels
DR

Examination

Type
no performance assessment

Course Components

Type Title Time & Place Hours
lecture Rough Analysis and Applications
  • Wed 10:00-12:00 (ER SA TZ)
2 h weekly

Offered In

  • Doctoral Department of Mathematics (More Information at: The list of courses (together with the allocated credit points) eligible for doctoral students is published each semester in the newsletter of the ZGSM. WARNING: Do not mistake ECTS credits for credit points for doctoral studies!)