Integral calculus | Calculus of variations | Mathematical finance | Stochastic calculus
In probability theory and related fields, Malliavin calculus is a set of mathematical techniques and ideas that extend the mathematical field of calculus of variations from deterministic functions to stochastic processes. In particular, it allows the computation of derivatives of random variables. Malliavin calculus is also called the stochastic calculus of variations. P. Malliavin first initiated the calculus on infinite dimensional space. Then, the significant contributors such as S. Kusuoka, D. Stroock, Bismut, S. Watanabe, I. Shigekawa, and so on finally completed the foundations. Malliavin calculus is named after Paul Malliavin whose ideas led to a proof that Hörmander's condition implies the existence and smoothness of a density for the solution of a stochastic differential equation; Hörmander's original proof was based on the theory of partial differential equations. The calculus has been applied to stochastic partial differential equations as well. The calculus allows integration by parts with random variables; this operation is used in mathematical finance to compute the sensitivities of financial derivatives. The calculus has applications in, for example, stochastic filtering. (Wikipedia).
Integration by Parts and KPZ Two-Point Function by Leandro P. R. Pimentel
PROGRAM FIRST-PASSAGE PERCOLATION AND RELATED MODELS (HYBRID) ORGANIZERS: Riddhipratim Basu (ICTS-TIFR, India), Jack Hanson (City University of New York, US) and Arjun Krishnan (University of Rochester, US) DATE: 11 July 2022 to 29 July 2022 VENUE: Ramanujan Lecture Hall and online This
From playlist First-Passage Percolation and Related Models 2022 Edited
Yanghui Liu (Baruch College) -- Numerical approximations for rough differential equations
The rough paths theory provides a general framework for stochastic differential equations driven by processes with very low regularities, which has important applications in finance, statistical mechanics, hydro-dynamics and so on. The numerical approximation is a crucial step while applyi
From playlist Columbia SPDE Seminar
Interview at Cirm: Marta Sanz Solé
Marta Sanz-Solé is professor at the University of Barcelona, and head of the research group on stochastic processes. Prior to taking up her post at the UB, she was associate professor at the University Autònoma of Barcelona. She was Dean of the Faculty of Mathematics UB from 1993-1996, and
From playlist English interviews - Interviews en anglais
12_2_1 Taylor Polynomials of Multivariable Functions
Now we expand the creation of a Taylor Polynomial to multivariable functions.
From playlist Advanced Calculus / Multivariable Calculus
A central limit theorem for Gaussian polynomials...... pt2 - Anindya De
Anindya De Institute for Advanced Study; Member, School of Mathematics May 13, 2014 A central limit theorem for Gaussian polynomials and deterministic approximate counting for polynomial threshold functions In this talk, we will continue, the proof of the Central Limit theorem from my las
From playlist Mathematics
Markus Tempelmayr - A diagram-free approach to the stochastic estimates in regularity structures
We explore the version of Hairer's regularity structures based on a greedier index set than trees, as introduced by Otto, Sauer, Smith and Weber. More precisely, we construct and stochastically estimate the renormalized model, avoiding the use of Feynman diagrams but still in a fully autom
From playlist Research Spotlight
Multivariable Calculus | What is a vector field.
We introduce the notion of a vector field and give some graphical examples. We also define a conservative vector field with examples. http://www.michael-penn.net http://www.randolphcollege.edu/mathematics/
From playlist Multivariable Calculus
A central limit theorem for Gaussian polynomials... pt1 -Anindya De
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From playlist Mathematics
Anton Thalmaier: The geometry of subelliptic diffusions
Find this video and other talks given by worldwide mathematicians on CIRM's Audiovisual Mathematics Library: http://library.cirm-math.fr. And discover all its functionalities: - Chapter markers and keywords to watch the parts of your choice in the video - Videos enriched with abstracts, b
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Infinite Limits With Equal Exponents (Calculus)
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From playlist Calculus
Math 032 Multivariable Calculus 12 101314: Lagrange Multiplier Method
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From playlist Course 4: Multivariable Calculus (Fall 2014)
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From playlist Calculus, Sect 11.1, Sequences
Calculus 1 Lecture 2.5: Finding Derivatives of Trigonometric Functions
https://www.patreon.com/ProfessorLeonard Calculus 1 Lecture 2.5: Finding Derivatives of Trigonometric Functions
From playlist Calculus 1 (Full Length Videos)
Multivariable Calculus | The notion of a vector and its length.
We define the notion of a vector as it relates to multivariable calculus and define its length. http://www.michael-penn.net http://www.randolphcollege.edu/mathematics/
From playlist Vectors for Multivariable Calculus
12_2_2 Taylor Theorem for Multivariable Polynomials
The Taylor Theorem for Multivariable functions.
From playlist Advanced Calculus / Multivariable Calculus
Pre-Calculus vs. Calculus – What’s The Difference? Things you should consider…
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From playlist Calculus
SMART enough to learn CALCULUS? What it takes to pass Calculus
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From playlist Calculus
Calculus II: Partial Derivatives & Integrals — Subject 4 of Machine Learning Foundations
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