48 citations · 88 across the 12 of their papers we have counts for
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math.PR2008
From random walks to rough paths
Emmanuel Breuillard, Peter Friz, Martin Huesmann
Donsker's invariance principle is shown to hold for random walks in rough path topology. As application, we obtain Donsker-type weak limit theorems for stochastic integrals and dif…
math.AP2008★ 7 cited
Partial differential equations driven by rough paths
Michael Caruana, Peter Friz
We study a class of linear first and second order partial differential equations driven by weak geometric -rough paths, and prove the existence of a unique solution for these eq…