Introduction to Malliavin Calculus
This reading group takes place every Thursday of Term 1, 15:00-16:00 in MB2.22.
The following is a rough schedule for the course. If you would like to present a topic, please email Theodoros Galanis or Alastair Crossley.
We will be closely following this book by David Nualart: Malliavin Calculus and its Applications.
For a standard reference on Malliavin Calculus, see this book also by David Nualart: The Malliavin Calculus and Related Topics.
See also a good set of lecture notes by Luciano Tubaro and Margherita Zanella: An introduction to Malliavin calculus
| Date | Speaker | Topic | Corresponding book chapter |
| 9 Oct | Alastair Crossley |
Chaos expansions |
Chapter 1 |
| 16 Oct | Theodoros Galanis | The derivative operator | Chapter 1 |
| 23 Oct | Owen Hopewell | The divergence operator | Chapter 2 |
| 30 Oct | Luca Chadwick | Clark-Ocone formula | Chapter 2 |
| 6 Nov | Juan Pablo Chávez Ochoa | Hypercontractivity of the Ornstein-Uhlenbeck semigroup | Chapter 3 |
| 13 Nov | Theodoros Galanis | Generator of the Ornstein-Uhlenbeck semigroup | Chapter 3 |
| 20 Nov | Vinayak Niraj | ||
| 27 Nov | Usman Ladan | ||
| 4 Dec | Haokai Xie | ||
| 11 Dec | TBC |