Malliavin calculus and white noise analysis

Malliavin calculus is a modern way to study stochastic processes, in particular, the Levy processes. Hazlina Darman will use these methods in her PhD thesis. Karl Mina will explore application in his PhD to hedging in jump diffusion models in asset pricing. Elliott and Van der Hoek made some break throughs with these methods in the study of fractional Brownian motion.

PhD students: Karl Mina, Hazlina Darman

Contact: John van der Hoek

Key publications

RJ Elliott & J van der Hoek, 'A general fractional white noise theory and applications to finance',Mathematical Finance, 13:301-330, 2003.

RJ Elliott & J van der Hoek, 'Ito Formulas for fractional Brownin motion', Festschrift Dilip Madan, Birkhauser, 2007.

Areas of study and research

+ Click to minimise