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Geometric aspects in pathwise stochastic analysis and related topics

Objective

"Recent years have seen an explosion of applications of geometric and pathwise ideas in probability theory, with motivations from fields as diverse as quantitative finance, statistics, filtering, control theory and statistical physics. Much can be traced back to Bismut, Malliavin (1970s) on the one-hand and then Doss, Sussman (1970s), Foellmer (1980s) on the other hand, with substantial new input from Lyons (from '94 on), followed by a number of workers, including Gubinelli (from '04 on) and the writer of these lines (also from '04 on). Most recently, the theory of such ``rough paths"" has been extended to ``rough fields"", notably in the astounding works of M. Hairer (from '13 on). The purpose of this project is to study a number of important problems in this field, going beyond the rough path setting, and with emphasis on geometric ideas.

(i) The transfer of concepts from rough path theory to the new world of Hairer's regularity structures.

(ii) Applications of geometric and pathwise ideas in quantitative finance.

(iii) Obtain a pathwise understanding of the geometry of Loewner evolution and more generally explore the use of rough path-inspired ideas in the world of Schramm-Loewner evolution.

(iv) Investigate the role of geometry in the pathwise analysis of non-linear evolution equations."

Fields of science (EuroSciVoc)

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Keywords

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Programme(s)

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Topic(s)

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Funding Scheme

Funding scheme (or “Type of Action”) inside a programme with common features. It specifies: the scope of what is funded; the reimbursement rate; specific evaluation criteria to qualify for funding; and the use of simplified forms of costs like lump sums.

ERC-COG - Consolidator Grant

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Call for proposal

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(opens in new window) ERC-2015-CoG

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Host institution

TECHNISCHE UNIVERSITAT BERLIN
Net EU contribution

Net EU financial contribution. The sum of money that the participant receives, deducted by the EU contribution to its linked third party. It considers the distribution of the EU financial contribution between direct beneficiaries of the project and other types of participants, like third-party participants.

€ 1 180 000,00
Address
STRASSE DES 17 JUNI 135
10623 Berlin
Germany

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Region
Berlin Berlin Berlin
Activity type
Higher or Secondary Education Establishments
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Total cost

The total costs incurred by this organisation to participate in the project, including direct and indirect costs. This amount is a subset of the overall project budget.

€ 1 180 000,00

Beneficiaries (2)

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