Wednesday 26 November 2014 h. 14:30, room 2BC30

Paolo Pigato (Padova, Dip. Mat.)

"An introduction to density estimates for diffusions"

Abstract

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.