Course

MATH-525: Advanced stochastic analysis

Summary

This course will give you in-depth knowledge in some topics of modern stochastic analysis. We will start with a general introduction to Gaussian measure theory followed by an introduction to Malliavin calculus and a selection of advanced topics.

Lectures

Instructor

Martin Hairer

Teaching & PhD PhD Students Colin Piernot, Wenhao Zhao, Declan Rellan Stacy Courses Advanced stochastic analysis MATH-525 This course will give you in-depth knowledge in some topics of modern stochastic analysis. We will start with a general introduction to Gaussian measure theory followed by an introduction to Malliavin calculus and a selection of advanced topics. Awards Fermat Prize Institut de Mathématiques de Toulouse 2013 Fields Medal IMU 2014 Honorary doctorate in science Hong Kong

Official source

https://edu.epfl.ch/coursebook/en/advanced-stochastic-analysis-MATH-525

Moodle Page

http://go.epfl.ch/MATH-525

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