Student Probability Seminar

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Elementary Malliavin Calculus

Speaker: Ling Zhu

Location: Warren Weaver Hall 202

Date: Friday, November 6, 2009, 3 p.m.

Synopsis:

We introduce the Wiener-Ito Chaos expansion and define the Skorohod integral and Malliavin Derivative. The Skorohod integral is a generalization of Ito integral and gives a different approach to defining the Malliavin Derivative. Finally, we state and prove the famous Clark-Ocone formula. If time permits, we some examples of Skorohod integrals and Malliavin Derivatives. All the materials can be found in the 2009 book, Malliavin Calculus for Levy Processes with Applications to Finance, by Oksendal et al.