Videos

Stationary phase for rough differential equations

Presenter
January 28, 2014
Abstract
Hiroshi Kawabi Okayama University In this talk, we discuss the method of stationary phase for a rough differential equation (RDE) driven by the scaled Brownian rough path εw¯¯¯¯¯¯ . In particular, we give the asymptotic expansion for a certain class of oscillatory functional integrals for the law of the solution of the RDE as ε↘0. Our approach is based on the techniques developed in the study of Laplace type functional integrals with Bismut-Malliavin's integration by parts formula in the sense of rough paths. This is a continuation of a series of joint work with Yuzuru Inahama.