Dear Colleagues and Students,
The last two financial mathematics seminars of this semester are on 28 May 2019, Tuesday and 30 May 2019, Thursday by David Nualart from the University of Kansas, KS, USA. Both seminars start at 13:40 and the venue is EE01.
You may find below the detailed information together with the links to the papers to be presented by Prof. Nualart. The first seminar will serve as an introduction to Malliavin calculus and the second seminar will focus on its applications in Gaussian stationary sequences.
28 May 2019, Tuesday, 13:40, EE01
Title: A quick introduction to Malliavin calculus
30 May 2019, Thursday, 13:40, EE01
Title: A functional version of the central limit theorem for Gaussian stationary sequences
Speaker: David Nualart, University of Kansas, Lawrence, KS, USA
Abstract: In these lectures we will first present the basic elements of the stochastic calculus of variations in the Wiener space. As an application we will establish a functional version of the central limit theorem for Gaussian stationary sequences, established by Breuer and Major. The corresponding tightness property will be derived using the continuity of the divergence operator proved by Meyer.
Bio: David Nualart obtained his PhD in Mathematics from the University of Barcelona in 1975. He was professor at the University of Barcelona until 2005, when he moved to the University of Kansas. He is currently the Back-Babcok Distinguished Professor at the University of Kansas. David Nualart works in stochastic analysis and he is a leading expert in Malliavin calculus. He has developed applications of Malliavin calculus to a wide range of topics in mathematics, including regularity of probability distributions, anticipating stochastic calculus, stochastic partial differential equations and central limit theorems. He is the author of more than 250 research papers and a monograph on “The Malliavin Calculus and Its Applications”, which is a basic reference in this topic. David Nualart was elected Fellow of the Institute of Mathematical Statistics in 1997 and received the Higuchi Award on Basic Sciences in 2015. He is corresponding member of the Spanish Real Academy of Sciences.