Course

MATH-664: Malliavin calculus and normal approximations

Summary

This course will provide a basic knowledge of the stochastic calculus of variations with respect to the Brownian motion. A variety of applications will be presented including the regularity of probability densities and quantitative normal approximations.

Lectures

Official source

https://edu.epfl.ch/coursebook/en/malliavin-calculus-and-normal-approximations-MATH-664

Moodle Page

http://go.epfl.ch/MATH-664

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