Presentation Name: Chaotic extensions and the lent particle method for Brownian motion
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.

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