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:
For a standard reference on Malliavin Calculus, see this book also by David Nualart:
See also a good set of lecture notes by Luciano Tubaro and Margherita Zanella:
| Date | Speaker | Topic | Corresponding book chapter |
| 9 Oct | Alastair Crossley |
|
Chapter 1 |
| 16 Oct | Theodoros Galanis | The derivative operator | Chapter 1 |
| 23 Oct | Owen Hopewell | Chapter 2 | |
| 30 Oct | Luca Chadwick | Chapter 2 | |
| 6 Nov | Juan Pablo Ch谩vez 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 | Sobolev spaces and equivalence of norms | Chapter 4 |
| 27 Nov | Usman Ladan | Regularity of probability laws | Chapter 5 |
| 4 Dec | Haokai Xie | Support properties. Density of the maximum | Chapter 6 |
| 11 Dec | Theodoros Galanis | Application of Malliavin calculus to diffusion processes |
Chapter 7 |
| 12 Jan | Alastair Crossley | Chapter 7 | |
| 4 Feb | Theodoros Galanis | Central limit theorems via chaos expansions | Chapter 9 |
| 11 Feb | Luca Chadwick | Chapter 9 |