The Spring term course 2014

Introduction to Malliavin calculus (6 lectures)

Speaker: Dr Yuxin Yang (Imperial College)
 
The course ran in the Spring term 2014 (Wednesday, 22 January - 26 February 2014)

Room 642 1:00-3:00pm

Outline:

  • Motivation. Review of finite dimensional Gaussian calculus
  • Analysis on the Wiener space
  • Derivative operator
  • Divergence operator (the Skorohod integral)
  • The Clark-Ocone formula
  • Ornstein-Uhlenbeck operator
  • The Wiener-Itô chaos decomposition
  • Existence and smoothness of densities
  • Anticipative stochastic integration
  • Applications