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.
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Last updated: 2022-11-15