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Iam looking for research topics and open problems in stochastic calculus. Can anyone tell me, where can i find such things?

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I don't think this is a good question for this site. You need an advisor, not a random assortment of ideas from the Internet. – Nate Eldredge Jan 27 '12 at 23:50
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Nate Eldredge is right that you need an advisor if you're, say, a grad student looking for a research topic. But the other part of your question, "Is there a list of major open problems in stochastic calculus available anywhere?" is a fine question for this site. I'm not sure about stochastic calculus, but I believe there are such lists in existence for some other subfields of math. – Mike Spivey Jan 28 '12 at 0:35
I agree with Nate and Mike. If you wish to focus on the other part of the question, then please edit the post accordingly. – Srivatsan Jan 28 '12 at 1:17
I've never seen such list and maybe the current version of the question is indeed not well-posed since it does not admit any answer. FWIW, there are several topics in stochastic calculus which you may wan't to take a look at: 1. stochastic PDEs 2. financial mathematics in general: pricing theory, actuarial problems, Levy processes 3. stochastic optimal control and optimal stopping problems in particular – Ilya Jan 28 '12 at 13:22

closed as not constructive by Nate Eldredge, Asaf Karagila, Ilya, Srivatsan, Matt N. Jan 28 '12 at 17:54

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A great way to research this is to go to the website of a maths departement and have a look at what kind of stuff the people in Stochastic Analysis, Probability Theory, Stochastic Processes etc. pp. are doing !

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I think one could work on stochastic partial differential equations driven by several fractional processes. This is quite interesting, because I could also apply techniques of the malliavin calculus. Thank you for your help! – Peter Moor Jan 28 '12 at 17:50

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