Jinghai Feng
Dalian Institute of Technology
Title: Malliavin calculus and regularity of the law of maximum of Gaussian processes
Basic concepts in Malliavin calculus, including Wiener-Ito chaos decomposition, multiple Wiener-Ito integral, derivative operator and divergence operator will be discussed. Applications to regularity and smoothness of the law of maximum of Gaussian processes will be given.
©2008, Department of Mathematical Sciences
Last Modified: September 25, 2008