Presentation Name: | Chaotic extensions and the lent particle method for Brownian motion |
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Presenter: | Prof.Laurent DENIS |
Date🔩: | 2016-10-11 |
Location: | 光华楼东主楼1801 |
Abstract: | In several works with N. Bouleau, we have developped a Malliavin calculus on the Poisson space based on the lent particle formula which consists in adding a particle to the system then derivating with respect to this particle and finally removing it . The aim of this work is to prove that, on the Wiener space for the standard Ornstein-Uhlenbeck structure, we also have such a formula which permits to calculate easily and intuitively the Malliavin derivative of a functional. Our approach uses chaos extensions associated to stationary processes of rotations of normal martingales. |
Annual Speech Directory: | No.201 |
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