Legacy Course Catalog
STAT 695F - Malliavin Calculus
Effectivity: | 08/25/2008 - 12/20/2008 @ Purdue West Lafayette Traditional |
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Credits: | 3 |
Instructional Types: | Lec |
Usually Offered: | fal spr sum |
Short Title: | Malliavin Calculus |
Description: | This advanced graduate course on the Malliavin calculus requires a good knowledge of stochastic calculus with respect to Brownian motion (such as MA/STAT 638), and some familiarity with Gaussian processes. It covers basic definitions of the Malliavin derivative and the Skorohod (divergence) integral, Wiener chaos, applications to smoothness of probability laws, to integration with respect to fractional Brownian motion, and to arbitrage theory in continuous-time stochastic finance. |
School: | School Of Science |
Department: | Statistics |
Credit By Exam: | NO |
Repeatable Flag: | YES |
Temporary Flag: | YES |
Full Time Privilege Flag: | NO |
Honors Flag: | NO |
Registration Approval Type: | Instructor |
Variable Title Flag: | NO |
Fall 2007 *** indicates the course was still an active course and was transferred to the Banner Catalog effective Spring 2008. This course was not expired Fall 2007.