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