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.