This semester we will be working on ‘‘Malliavin Calculus’’. We meet on Thursdays at 2:30 pm in WEH 7218.

Text: ‘‘The Malliavin Calculus and Related Topics’’ by David Nualart.

Email for the working groups is: siam-wg@lists.andrew.cmu.edu

Schedule (so far)

Name Date(s) Topic
David Itkin 01/23 Chapter 1: Brownian Motion
Likhit Ganedi 01/30 Chapter 2: Stochastic Calculus (Part I)
Andrew Warren 02/06 Chapter 2: Stochastic Calculus (Part II)
Wony Hong 02/13, 20 Chapter 3: Derivative and Divergence Operators
Zeyu Zhang 02/27 Chapter 4: Wiener Chaos
Antoine Remond-Tiedrez 03/05 Chapter 5: Ornstein-Uhlenbeck Semigroup
Son Van 03/19 Chapter 6: Stochastic Integral Representations (Part I)