Asymptotic Integration by parts formulae and regularity of the laws of random variables part.1
Event details
| Date | 14.06.2012 |
| Hour | 10:15 › 12:00 |
| Speaker | Vlad Bally |
| Location | |
| Category | Conferences - Seminars |
P. Malliavin has built a stochastic differential calculus which, through an integration by parts formula, constitutes an important instrument for the study the regularity of the laws of functionals on the Wiener space.This approach is limited by the constraint that those functionals must havesome differentiability properties in the sense of Malliavin. Several recent papers develop an idea that make it possible to weaken this restriction: one approximates the functional F by a sequence of functionals Fn for which it possible to establish integration by parts formulae (via Malliavin calculus or other methods). One may expect (and this is indeed the case in interesting examples) that the weights H(Fn) which appear in the integration by partsformulae for Fn blow up as n→∞. The idea is to establish a
balance between the approximation error which vanishes as n→∞ and the weights which blow up. If one succeeds in doing this, then one proves that the law of the random variable F is absolutely continuous and one may even obtain some regularity.
balance between the approximation error which vanishes as n→∞ and the weights which blow up. If one succeeds in doing this, then one proves that the law of the random variable F is absolutely continuous and one may even obtain some regularity.
Practical information
- General public
- Free
Organizer
- CIB
Contact
- Isabelle Derivaz-Rabii