– Europe/Lisbon
Room P3.10, Mathematics Building
— Online
Ana Bela Cruzeiro, Instituto Superior Técnico, Lisbon
A (very) short introduction to Malliavin Calculus I
Malliavin Calculus, an infinite dimensional calculus on probability spaces, was born with the paper
P. Malliavin - Stochastic calculus of variations and hypoelliptic operators, Proc. Inter. Symp. Stoch. Diff. Eqs. Kyoto 1976, Wiley (1978), 195–263.
and was initially aimed to give a probabilistic counterpart of Hörmander theorem for hypoelliptic operators. Soon it found many developments and other applications within Mathematics (notably in Mathematical Physics), also in Finance.
I will give an introduction to Malliavin Calculus techniques, with a brief reference to some applications.