Title: Introduction to Malliavin Calculus and the Skorohod Integral
Abstract: Malliavin calculus extends classical stochastic calculus by introducing a notion of differentiation for random variables. In this introductory talk to the topic, I present the Malliavin derivative and the Skorohod integral in the framework of Brownian motion. Starting from the Wiener chaos decomposition of L2(Ω), I motivate the derivative operator and construct its adjoint, the Skorohod integral, which generalizes the Itô integral to non-adapted processes. I introduce some key properties of both objects as well as illustrate the theory with examples. (starts 9.00 sharp)
