Lecturers

Andrew Allan, Josef Teichmann

Lectures

The lectures for this course are now finished. The lectures were recorded and the recordings may be found below.

Objective

The aim of this course is to provide an introduction to the theory of rough paths, with a particular focus on their integration theory and associated rough differential equations, and how the theory relates to and enhances the field of stochastic calculus.

Our first motivation will be to understand the limitations of classical notions of integration to handle paths of very low regularity, and to see how the rough integral succeeds where other notions fail. We will construct rough integrals and establish solutions of differential equations driven by rough paths, as well as the continuity of these objects with respect to the paths involved, and their consistency with stochastic integration and SDEs. Various applications and extensions of the theory will then be discussed.

Prerequisites

The aim will be to make the course as self-contained as possible, but some knowledge of stochastic analysis is highly recommended. The course “Brownian Motion and Stochastic Calculus” would be ideal, but not strictly required.

Lecture Notes

• Lecture notes

Exercises

Exercise sheets will be posted here. The exercises are provided to give you some practice with the material, but students are not expected to hand in their work. There will be opportunities to ask questions about the exercises during the lectures.

Lecture recordings

Literature

• P. K. Friz and M. Hairer, A course on rough paths with an introduction to regularity structures, 2nd ed., Springer (2020).