MPS-misc 1998-1

June 1998

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

## Exercises with solutions and miscellaneous

by:

### 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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