Student Probability Seminar

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A brief introduction to Malliavin calculus

Speaker: Hong-Bin Chen, CIMS

Location: Warren Weaver Hall 517

Date: Monday, September 27, 2021, 11:30 a.m.

Synopsis:

Malliavin calculus is an infinite-dimensional differential calculus on a Gaussian probability space. In particular, it provides a way of differentiating random variables. We briefly introduce the Malliavin derivative operator, its adjoint known as the divergence operator, and their basic properties. Then, we demonstrate how to express the density of a random variable using these tools. (Only basic knowledge in Probability is needed.)