Stochastic Analysis Research Group

UAB Code: 1400
Coordinator: Frederic Utzet.


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.


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


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

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