Seminar series
Date
Mon, 19 Jan 2004
14:15
14:15
Location
DH 3rd floor SR
Speaker
Terry Lyons
Organisation
Oxford
After a brief introduction to the basics of Rough Paths I'll
explain recent work by Peter Friz, Dan Stroock and myself proving that a
Brownian path conditioned to be uniformly close to a given smooth path
converges in distribution to that path in the Rough Path metric. The Stroock
Varadhan support theorem is an immediate consequence.
The novel part of the argument is to
obtain the estimate in a way that is independent of the particular norm used
in the Euclidean space when one defines the uniform norm on path space.