A walk through Malliavin Calculus: from the initial motivations to recent developments
- Date
- Jan 11, 2017
- Time
- 5:00 PM - 6:00 PM
- Speaker
- Prof. Marta Sanz-Solé
- Affiliation
- Facultat de Matemàtiques, Universitat de Barcelona
- Series
- TUD Dresdner Mathematisches Seminar
- Language
- en
- Main Topic
- Mathematik
- Other Topics
- Mathematik
- Host
- Prof. Dr. R. Schilling
- Description
- Existence and properties of probability densities for nonlinear Gaussian functionals can be obtained using the stochastic calculus of variations which, in Malliavin’s words, comes from a merging of differential calculus and probability theory. In the first part of the lecture, we will talk on the motivations of this calculus, its connections with PDEs, and introduce the basic notions. In the second part, we will focus on quite recent applications relative to aspects of probabilistic potential theory for stochastic partial differential equations (SPDEs). More specifically, we will study the probability that sample paths of solutions of SPDEs visit deterministic sets.
- Links
Last modified: Dec 12, 2016, 11:10:51 AM
Location
TUD Willers-Bau (WIL C 307)Zellescher Weg12-1401069Dresden
- Homepage
- https://navigator.tu-dresden.de/etplan/wil/00
Organizer
TUD MathematikWillersbau, Zellescher Weg12-1401069Dresden
- Phone
- 49-351-463 33376
- Homepage
- http://tu-dresden.de/mathematik
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