Simula@BI: An introduction to rough path theory and its relation to stochastic calculus
Simula@BI invites Post doc Florian Bechtold to talk about rough path theory.
In this talk, Florian Bechtold will present some main ideas of rough path theory, an alternative to the Ito approaches to stochastic integration that has become increasingly popular in the past decade.
Bechtold will in particular highlight the differences in philosophy of the two approaches and the resulting merits and shortcomings of each theory in applications.
If time permits, he will conclude by discussing some recent progress towards reconciling both viewpoints as expressed by the seminal stochastic sewing lemma (Le, 2020).