Seminar

# An introduction to Malliavin calculus

Department's Seminar

30 March 2023

Start time

2:30 pm

PovoZero - Via Sommarive 14, Povo (Trento)

Seminar Room "1"

Target audience:

University community

UniTrento students

Attendance:

Free

Registration email:

Contact person:

Prof. Gian Paolo Leonardi & Prof. Giorgio Saracco

Contact details:

University of Trento 38123 Povo (TN) – Department of Mathematics

+39 04 61/281508-1625-1701-1980-3898-1511

Speaker:

Davide Addona (University of Parma)

**Abstract**

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.