Winter 2002, MWF 11:30-12:20
I will cover chosen topics from a book by David Nualart "The Malliavin calculus and related topics". The Malliavin calculus may be described as the mathematical analysis on an infinite-dimensional space, where the "infinite dimensional space" is the space corresponding to Brownian motion (Wiener process). The best known application of the Malliavin calculus is the proof of smoothness of the transition densities for some Markov processes.