Malliavin Calculus for Jump Processes (Part 3/3)
- Date
- Nov 2, 2012
- Time
- 9:20 AM - 10:50 AM
- Speaker
- Dr. Felix Lindner
- Affiliation
- Technische Universität Dresden, Institut für Mathematische Stochastik
- Language
- en
- Main Topic
- Mathematik
- Other Topics
- Mathematik
- Host
- Dipl.-Math. Julian Hollender
- Description
- Malliavin calculus or the stochastic calculus of variations is a differential calculus on the probability space underlying a given stochastic process. It allows one to make sense of such things as the derivative of a random variable and leads to deep results concerning, e.g., the existence and smoothness of density functions. This lecture series aims to provide an introductory overview of this fascinating theory, with an emphasis on jump processes.
- Links
Last modified: Oct 9, 2012, 7:00:38 PM
Location
TUD Willers-Bau (WIL A 221)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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