Rough path analysis and multiple integrals
Thursday, January 31, 2013 - 10:30am - 12:00pm
In this talk I will present some results concerning the integral $\int_a^b f(t) dY(t)$ and the differential equation: $dx(t)=f(x(t)) dY(t)$, where $Y(t)$ is a finite dimensional Holder continuous functions. We will also expand the solution $x(t)$ in term of Volterra series of $Y(t)$. When $Y(t)$ is a fractional Brownian motion, we also expand $X(t)$ as multiple Wiener-Ito integrals of $Y$ (orthogonal expansion).