Seminario dottorato: An introduction to density estimates for diffusions

Wednesday 26 November 2014, h. 14:30 - Room 2BC30 - Paolo Pigato

ARGOMENTI: Seminars Ph.D. Program


Wednesday 26 November 2014 h. 14:30, room 2BC30
Paolo Pigato (Padova, Dip. Mat.)
"An introduction to density estimates for diffusions"

We recall some notions in Malliavin calculus and some general criteria for the absolute continuity and regularity of the density of a diffusion. We present some estimates for degenerate diffusions under a weak Hormander condition, obtained by starting from the Malliavin and Thalmaier representation formula for the density. As an example, we focus in particular on the stochastic differential equation used to price Asian Options.

Rif. int. C. Marastoni, T. Vargiolu

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