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MAI0113
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.


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Last updated: 2014-04-29