- Date: 25 Oct. (Thu)
- Place: W.W. 7th-floor
- Time: 15:00 — 17:30
- Speakers: Ciprian Tudor, Emi Osuka
- Time: 15:00 — 16:00
- Speaker: Ciprian Tudor
- Title: Stein method and Malliavin calculus: the basics and some applications
- Abstract:
The Stein method allows to measure the distance between the laws of two random variables.
Recently, this method combined with the Malliavin calculus, led to several interesting results.
We will present the basic facts related to this theory and we will give some applications of it.
Recently, this method combined with the Malliavin calculus, led to several interesting results.
We will present the basic facts related to this theory and we will give some applications of it.
- Time: 16:30 — 17:30
- Speaker: Emi Osuka
- Title: A variational representation for G-Brownian functionals
- Abstract:
Motivated by risk measures and volatility uncertainty problems, Peng(2007, 2008)
introduced the notion of G-Brownian motion. In this talk, I will present a variational
representation for functionals of G-Brownian motion. This representation can be
applied to the derivation of the large deviation principle of Schilder’s type for G-Brownian
motion through the Laplace principle. That large deviation is originally obtained by
Gao-Jiang (2010) through discretization technique; our representation gives another proof.
introduced the notion of G-Brownian motion. In this talk, I will present a variational
representation for functionals of G-Brownian motion. This representation can be
applied to the derivation of the large deviation principle of Schilder’s type for G-Brownian
motion through the Laplace principle. That large deviation is originally obtained by
Gao-Jiang (2010) through discretization technique; our representation gives another proof.
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