[Turkmath:3886] Seminars Financial Maths and Stochastics

[Mustafa C. Pinar]

Dear Colleagues,

The last two financial mathematics seminars of this semester are on 28 May
2019,
Tuesday and 30 May 2019, Thursday by David Nualart from the University of
Kansas,
KS, USA. Both seminars start at 13:40 and the venue is EE01 (the
auditorium at the
basement of the Electrical and Electronics Engineering Building —
different from the
venue of the previous seminars!).

You may find below the detailed information together with the links to the
papers to
be presented by Prof. Nualart. The first seminar will serve as an
introduction to
Malliavin calculus and the second seminar will focus on its applications
in Gaussian
stationary sequences.

The seminars are organized by Cagin Ararat, Mustafa Ç. Pınar, Ali Süleyman
Üstünel; they are initiated and supported by Prof. Ali Doğramacı, the
President of
the Board of Trustees of Bilkent University.

Please feel free to share this announcement with anyone whom you think
would be
interested in the seminars.



*****************************************

28 May 2019, Tuesday, 13:40, EE01
Title: A quick introduction to Malliavin calculus

30 May 2019, Thursday, 13:40, EE01
Title: A functional version of the central limit theorem for Gaussian
stationary
sequences

Speaker: David Nualart, University of Kansas, Lawrence, KS, USA

Abstract: In these lectures we will first present the basic elements of the
stochastic calculus of variations in the Wiener space. As an application
we will
establish a functional version of the central limit theorem for Gaussian
stationary
sequences, established by Breuer and Major. The corresponding tightness
property
will be derived using the continuity of the divergence operator proved by
Meyer.

The talks will be based on the two papers:
https://arxiv.org/pdf/1808.02378.pdf
<https://arxiv.org/pdf/1808.02378.pdf> and
https://arxiv.org/pdf/1807.09740.pdf
<https://arxiv.org/pdf/1807.09740.pdf>.

Bio: David Nualart obtained his PhD in Mathematics from the University of
Barcelona
in 1975. He was professor at the University of Barcelona until 2005, when
he moved
to the University of Kansas. He is currently the Back-Babcok Distinguished
Professor
at the University of Kansas. David Nualart works in stochastic analysis
and he is a
leading expert in Malliavin calculus. He has developed applications of
Malliavin
calculus to a wide range of topics in mathematics, including regularity of
probability distributions, anticipating stochastic calculus, stochastic
partial
differential equations and central limit theorems. He is the author of
more than 250
research papers and a monograph on "The Malliavin Calculus and Its
Applications”,
which is a basic reference in this topic. David Nualart was elected Fellow
of the
Institute of Mathematical Statistics in 1997 and received the Higuchi
Award on Basic
Sciences in 2015. He is corresponding member of the Spanish Real Academy of
Sciences.


-- 
Mustafa Celebi Pinar
Professor and associate dean of engineering
Industrial Engineering
Bilkent University