Abstract:

The format for this conference includes 10 lectures delivered over 5 days by David Nualart, Professor at Kansas University, well known for his world-class work in stochastic analysis and Malliavin calculus; 4 invited 50-minute talks, one poster session for graduate students and postdocs, and plenty of coffee breaks for discussions.

The Malliavin calculus, or stochastic calculus of variations, is an infinite-dimensional differential calculus on the Wiener space, investigating the structure and regularity of Wiener functionals. The purpose of the lectures delivered during this conference is to present the main properties of Malliavin calculus, including its application to the proof of H\"ormander's theorem, to discuss in detail its connection with the anticipating stochastic calculus, and to present several of its applications to diffusion theory, financial mathematics, stochastic control, portfolio optimization, queueing, and mathematical physics. These fields of research provide a real input to the development of new tools in Malliavin calculus. The conference will provide evidence to the participants that the interaction between Probability and Applied Mathematics is bidirectional: beyond receiving answers to its questions, Applied Mathematics provides great research problems for probability theory, stochastic analysis and Malliavin calculus, motivates the development of new mathematical tools of intrinsic interest, and improves the image of Mathematics with the general non-scientific public. It is the goal of this conference to expose active and beginning researchers to this exciting field.