Spring 2020: Malliavin Calculus
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) |