4. Jul 2019
Mini-course consisting of two sessions: Rough paths, Rough volatility and Regularity Structures
Datum: 4. July 2019 |
10:15 –
11:45
Sprecher:
Peter FRIZ, TU Berlin
Veranstaltungsort: Heinzel Seminar Room / Office Bldg West (I21.EG.101)
audience. Among the new material I will introduce the rough volatility model from quantitative finance as simple (but not too simple) example of a regularity structures that exhibits many features also seen in the analysis of singular stochastic partial differential equations like KPZ.