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Super Title 2017 KAIST Math. Colloquium
Title Functional Approach to Stochastic Integrals
Speaker 지운식 ( 충북대학교 ) Date 2017-09-07
Host KAIST Place KAIST
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For a motivation of stochastic integrals, we start with stochastic (random) versions of deterministic systems and then we discuss the Ito integral as a non-anticipating (adapted) stochastic integral. Based on the quantum decomposition of Brownian motion, we study the Skorohod integral and Stratonovich integral as anticipating (non-adapted) stochastic integrals. Note that the Skorohod integral is the adjoint action of the Malliavin derivative.

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