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Last update: doc. Ing. Marek Omelka, Ph.D. (30.11.2020)
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Last update: RNDr. Petr Čoupek, Ph.D. (03.12.2020)
Students will get acquainted with basic results of Mallivin calculus. |
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Last update: RNDr. Petr Čoupek, Ph.D. (03.12.2020)
Students need to pass an oral exam. |
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Last update: RNDr. Petr Čoupek, Ph.D. (03.12.2020)
[1] Nualart, D., Nualart, E. Introduction to Malliavin Calculus, Cambridge University Press, 2018. [2] Nualart, D. The Malliavin calculus and related topics, Springer-Verlag Berlin/Heidelberg, 2006. [3] Nourdin, I., Peccati, G. Normal approximations with Malliavin calculus: From Stein’s method to universality, Cambridge University Press, 2012. |
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Last update: RNDr. Petr Čoupek, Ph.D. (03.12.2020)
Lecture. |
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Last update: RNDr. Petr Čoupek, Ph.D. (03.12.2020)
The exam is oral; the requirements correspond to the syllabus of the course to the extent in which it was presented during the lectures. |
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Last update: RNDr. Petr Čoupek, Ph.D. (03.12.2020)
1. Isonormal Gaussian process. 2. Wiener chaos and multiple integrals. 3. Malliavin derivative and its adjoint. 4. Ornstein-Uhlenbeck semigroup. 5. Applications. |
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Last update: RNDr. Petr Čoupek, Ph.D. (03.12.2020)
Basic knowledge of stochastic analysis (Wiener process, stochastic integral) and functional analysis (Hilbert and Banach space, linear operator). |