Academy of Mathematics and Systems Science, CAS
Colloquia & Seminars

Speaker:	吴波老师，复旦大学数学科学学院
Inviter:	罗德军
Title:	Quasi-invariant theorem on the Gaussian path space
Language:	Chinese
Time & Venue:	2022.12.09 16:00-17:00 腾讯会议：171-342-124
Abstract:	In this talk, we will first introduce a class of Gaussian processes, and prove the quasi-invariant theorem with respect to the Gaussian Wiener measure, which is the law of the associated Gaussian process. In particular, it includes the case of the fractional Brownian motion. As applications, we will establish the integration by parts formula and Bismut-Elworthy-Li formula on the Gaussian path space, and by which the logarithmic Sobolev inequality will be presented. Moreover, we will also provide some applications in the field of financial mathematics.