An introduction to Malliavin calculus
30 March 2023
Seminar Room "1"
Prof. Gian Paolo Leonardi & Prof. Giorgio Saracco
University of Trento 38123 Povo (TN) – Department of Mathematics
Davide Addona (University of Parma)
Malliavin calculus has been introduced by Malliavin in 70s in order to provide a probabilistic proof of Hormander’s Theorem, but it turned out to have many applications in many different fields, such as finance and stochastic differential equations. In this talk I present the mail tools which allow to define Sobolev spaces of random variables, starting from the 1-dimensional case to get up to the infinite dimensional setting.