## Probability Seminar: Yaozhong Hu

- Date: 03/06/2013
- Time: 15:00

Lecturer(s):
Yaozhong Hu,

*U. Kansas*
Location:

University of British Columbia

Topic:

Malliavin calculus and convergence in density of some nonlinear Gaussian functionals

Description:

The classical central limit theorem is one of the most important theorem in probability theory. The theorem states that if X_1, \cdots , X_n are independent identically distributed random variables and if F_n is the difference between the sample mean and the mean of the random variables properly normalized, then F_n converges to a normal distribution in distribution. Recent results extend this results to other random variables for example given by Wiener chaos (multiple It\^o-Wiener integrals). In this talk, we shall obtain some conditions on F_n such that the distributions of the random variables F_n have densities f_n(x) with respect to Lebesgue measure and f_n(x) converges to the normal density \phi(x)=\frac{1}{\sqrt{2\pi}}e^{-|x|^2/2}.

The tool that we use is the Malliavin calculus and a brief introduction will also be given.

This is an ongoing joint work with Fei Lu and David Nualart.

The tool that we use is the Malliavin calculus and a brief introduction will also be given.

This is an ongoing joint work with Fei Lu and David Nualart.

Other Information:

Location: ESB 2012