Mathematical Finance and Probability Seminars (Since covid these events are taking place online.)

Small value probabilities and applications to smoothness of probability laws

Tuesday, December 06, 2011 at 11:30am - 12:30pm

Speaker: Wenbo Li, University of Delaware

We first provide an overview on fundamental roles of small value probability (estimates of rare events that positive random variables take smaller values) in the theory of stochastic processes. Then we focus on negative moment estimates associated with determinant of Malliavin matrix and applications to smoothness of probability laws. Relevant techniques and tools will be discussed in the simplest setting.

Speaker: Wenbo Li, University of Delaware

Location   Hill 705