Stochastic Analysis Research Group


UAB Code: 1400
Coordinator: Frederic Utzet.

Members:

UAB: Aureli Alabert, Xavier Bardina, Rosario Delgado, Mercè Farré, Carme Florit, Maria Jolis, Josep Lluís Solé, Frederic Utzet, Noelia Viles, Lluís Quer, David Bascompte, Albert Ferreiro.
UB: Elisa Alòs, Josep Vives.

Goals:

Many lines of research have been taken up. The most important areas are the following:

  • Malliavin calculus for Levy processes
  • Integration with respect to fractional Brownian motion
  • Multiple integrals with respect to fractional Brownian motion
  • Stochastic comparison of particle systems
  • Stochastic differential-algebraic equations
  • Spin models

Keywords

Stochastic processes. Ito's formula. Malliavin calculus. Stochastic differential equations. Particle systems. Mathematical Finance.

More information

http://mat.uab.cat/~stoch

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TEL +34 93 581 13 04
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