MATH-664 / 3 credits

Teacher: Nualart David

Language: English


Only this year


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.



Brownian motion. Stochastic calculus. Diffusion processes. Malliavin calculus. Normal approximations. Stein's method.

Learning Outcomes

By the end of the course, the student must be able to:

  • Develop a working knowledge of the techniques of Malliavin calculus with respect to the Brownian motion and must be able to develop further applications.


Moodle Link

In the programs

  • Exam form: Project report (session free)
  • Subject examined: Malliavin calculus and normal approximations
  • Lecture: 21 Hour(s)
  • Exercises: 16 Hour(s)
  • Project: 26 Hour(s)

Reference week

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