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Probability and Computational Finance Seminar
Christian Keller
University of Southern California
Title: Pathwise Ito Calculus for Rough Paths

Abstract: We introduce path derivatives for controlled rough paths in the spirit of Dupire's functional Ito calculus. This allows us to study, in a convenient manner, rough differential equations with time-dependent coefficients under minimal regularity assumptions (with respect to time). Consequently, we can establish existence and stability of pathwise solutions for a large class of SDEs on a universal canonical sample space. The results are useful for studying viscosity solutions of SPDEs.

This is joint work with Jianfeng Zhang.

Date: Monday, February 2, 2015
Time: 4:30 pm
Location: Wean Hall 6423
Submitted by:  Shreve