Institut de Mathématiques de Toulouse

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Workshop on new advances in Malliavin Calculus, SPDEs and BSDEs with application to Finance

par Delphine Dallariva - publié le

In the last decades, the Malliavin calculus or stochastic calculus of variations has been used intensively in various -elds of probability theory as it provides a powerful tool to study the regularity of random variables in a Gaussian realm. In particular Malliavin’s calculus has been proved to be particularly e-cient for studying solution to various stochastic equations like stochastic di-erential equations (SDEs) or to stochastic partial di-erential equations (SPDEs) used to model physical system. Recently, many attention has been given to a new class of stochastic equations named Backward Stochastic Di-erential Equations (BSDEs) which naturally intervene in Finance. In view of -nancial applications, it is mandatory to provide robust numerical schemes to simulate the solution to a class of BSDEs which requires more knowledge on the regularity of the solution to these equations which can be obtained using the Malliavin calculus.

The goal of this workshop is to give the opportunity to the main European experts in SPDEs, BSDEs and in Malliavin calculus to exchange on these topics.

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