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Centre for Mathematical Physics and Stochastics
Department of Mathematical Sciences, University of Aarhus

Funded by The Danish National Research Foundation

MPS-misc 1998-1
June 1998

An addendum to "An Introduction to Malliavin Calculus with Applications to Economics"

Exercises with solutions and miscellaneous


Fred Espen Benth


In May 1998 professor Bernt Øksendal gave an advanced course in Malliavin Calculus with applications to economics at the Centre for Mathematical Physics and Stochastics (MaPhySto). The course consisted of lectures and tutorial classes. This note contains the exercises with suggested solutions discussed in the classes. Notation and necessary theoretical background to understand the exercises can be found in the Lecture Notes, [Ø]. Also included is a section with some remarks and theoretical results discussed in the lectures, but not treated in [Ø].

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