Hide menu

Polopoly will be shut down December 15, 2023. Existing pages will have to be moved before or will be removed at that date. Empolyees may read more at FAQ Polopoly Avveckling

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


Page manager: karin.johansson@liu.se
Last updated: 2022-11-15