Hide menu

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

Dirichlet Forms and Stochastic Integration (reading course)

Number of credits: 10 hp

Examiner: Jörg-Uwe Löbus

Course literature: [1] Nicolas Bouleau, Francis Hirsch, Dirichlet forms and analysis on Wiener space, W. de Gruyter 1991, chap. 1, 2 [2] Philip E. Protter, Stochastic integration and differential equations 2nd Edition, Springer 2005, chap. 2, 3, sec. 5.5.

Course contents: Dirichlet forms, Dirichlet operators, Carre du champ operator; differential calculus on sequence space, differential calculus on path space, i.e., classical Wiener space, chaos decomposition, multiple Wiener integrals, Skorohod integral; semimartingales and stochastic integrals, Doob-Meyer decomposition, Ito's formula, Girsanov's theorem, Ito integral vs. Stratonovich integral for semimartingals.

Organisation: 1-2 consultations per week.

Examination: Oral exam, hand in assignment.

Prerequisites: Master in Mathematics or equivalent.

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