Minicourse on Stochastic Analysis via Rough Paths (TU-Wien, 2009)     

P.K. Friz (Cambridge University + RICAM)

I. Lecture notes.

Lecture notes

II. Some references  

• P. Friz, N. Victoir: Multidimensional Stochastic Processes as Rough Paths. Theory and Applications (draft), to appear at Cambridge University Press.
• T. Lyons: St. Flour Lectures on Rough Path Theory (very useful this link!)
• A.Lejay: An Introduction to Rough Paths
• T.Lyons, Z.Qian: System control and rough paths, Oxford Mathematical Monographs, Oxford Science Publications, Oxford University Press, Oxford, 2002
• T.Lyons: Differential equations driven by rough signals, Rev. Mat. Iberoamericana 14, no. 2, 215-310, 1998