Some extensions and applications of Malliavin Calculus cith respect to the other processes different than the standart brownian motion will be studied. 1. Stochastic integration with respect to fractional brownian motion using the associated Fock space structure (chaos descomposition). Application to finance. 2. Anticipative stochastic differential equations driven by Poisson processes. Equations with boundary conditions. 3. Multiple Stratonovich integral with respect to normal martingales. Orthogonal polynomials.
|Effective start/end date||1/12/97 → 1/12/00|
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