Mathematical Finance and Probability Seminars (Since covid these events are taking place online.)
Smoothness of the law of the supremum of the Gaussian process
Tuesday, October 05, 2010 at 11:00am - 12:00pm
Speaker: Jian Song, Rutgers
We will show that the supremum of a class of Gaussian processes has an infinitely differentiable density by using the techniques of Malliavin calculus.
Speaker: Jian Song, Rutgers
Slides: (TBA)
Speaker: Jian Song, Rutgers
Slides: (TBA)
Location Hill 705