Apr 2016-Mar 2017

Math-Fi seminar on 14 Jul.

2016.07.11 Mon up
  • Date : 14 Jul. (Thu.)
  • Place: W.W. 7th-floor, 4th lab.
  • Time : 16:30-18:00
  • Speaker:  Laurent Denis (Universite de Mans)
  • Title: Chaotic extensions and the lent particle method for Brownian motion
  • 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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