Centre for Mathematical Physics and Stochastics

Department of Mathematical Sciences, University of Aarhus

Funded by The Danish National Research Foundation

From Monday, May 25, 1998 to Friday, May 29, 1998 MaPhySto organized a Concentrated Advanced Course on Malliavin Calculus.

Programme:

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 (`maphysto@mi.aau.dk`

) or to the local organizer
Svend Erik Graversen.

This document, *http://www.maphysto.dk/oldpages/events/MalliavinCalc/index.html*,
was last modified
January 19, 2004.
Questions or comments to the contents of this document should
be directed to `maphysto@maphysto.dk`.