This semester we will be working on ‘‘Malliavin Calculus’’.
Text: ‘‘Introduction to Malliavin Calculus’’ by David Nualart and Eulalia Nualart.
Email for the working groups is: siam-wg@lists.andrew.cmu.edu
01/23 | Chapter 1: Brownian Motion | David Itkin
01/30 | Chapter 2: Stochastic Calculus (Part I) | Likhit Ganedi
02/06 | Chapter 2: Stochastic Calculus (Part II) | Andrew Warren
02/13, 02/20 | Chapter 3: Derivative and Divergence Operators | Won Eui Hong
02/27 | Chapter 4: Wiener Chaos | Zeyu Zhang
04/09, 04/14 | Chapter 5: Ornstein-Uhlenbeck Semigroup | Son Van
05/16 | Chapter 5: Ornstein-Uhlenbeck Semigroup cont. | Ben Weber
04/23 | Chapter 6: Stochastic Integral Representations | Antoine Remond-Tiedrez