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Mini-course consisting of two sessions: Rough paths, Rough volatility and Regularity Structures

Date: Friday, July 5, 2019 10:15 - 11:45
Speaker: Peter FRIZ (TU Berlin)
Location: Heinzel Seminar Room / Office Bldg West (I21.EG.101)
Series: Mathematics and CS Seminar
Host: Jan Maas

Abstract:

Day#2: There will be some flexibility, and I am happy to cater to interests of the audience. Possible topics include: Rough semimartingales, rough paths with jumps, applications (of rough paths and regularitystructures) to large deviations and Laplace method, applications to Multiscale Systems, Homogenization.
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