From Monday, May 25, 1998 to Friday, May 29, 1998 MaPhySto organized a Concentrated Advanced Course on Malliavin Calculus.
25 May 09.00-11.00: Introduction. The Wiener-Itô Chaos Expansion
26 May 09.00-11.00: The Skorohod Integral
27 May 09.00-11.00: Differentiation. The Malliavin Derivative
28 May 09.00-11.00: The Clark-Ocone Formula and Generalization
29 May 09.00-11.00: Applications, e.g. to Mathematical Finance
The purpose of the course was to give a short and relatively non-technical introduction to Malliavin calculus, with emphasis on some parts of the theory which are of special interest in economics applications. The course was based on the lecture notes:
B. Øksendal: An Introduction to Malliavin Calculus with Applications to Economics. Working Paper No. 3, 1996, at the Norwegian School of Economics and Business Administration, Bergen, Norway.
Please make further inquiries to MaPhySto (
firstname.lastname@example.org) or to the local organizer
Svend Erik Graversen.