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MAI0104
Malliavin Calculus and Stochastic Integration/
Malliavinkalkyl och stokastisk integration

Number of credits: 8 hp

Examiner: Jörg-Uwe Löbus

Course literature: David Nualart, The Malliavin Calculus and Related Topics, Springer 2006.

Course contents: (1) Classical and abstract Wiener space, Girsanov's theorem, Derivatives, Partial integration, Stochastic integral, Wiener functionals (2) Ornstein-Uhlenbeck form, -semigroup, -operator, related Sobolev spaces, comparison finite dimensional and infinite dimensional case (3) Ito-integral, Skorohod integral, Stratonovich integral, L^2-integral (4) Application to Stochastic Differential Equations, characterization of probability laws, mathematical finance.

Organisation: 10 föreläsningar (2 timmar), 5 problemseminarier (2 timmar), presentationer (varje student, 1 timme).

Examination: Aktivt deltagande i problemseminarier, inlämningsuppgifter, presentation av ett område som ligger kursen nära.

Prerequisites: Doktorandkurs i integrationsteori alternativt sannolikhetsteori.

Course plan


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Last updated: 2014-09-15