KU News Release


March 16, 2011
Contact: Gloria Prothe, Department of Mathematics, 785-864-3651

KU to host International Conference on Malliavin Calculus and Stochastic Analysis

More Information

LAWRENCE — The International Conference on Malliavin Calculus and Stochastic Analysis will be held March 19-21 in Lawrence. The conference is hosted by the University of Kansas Department of Mathematics and honors KU math professor David Nualart.

Nualart received a doctorate from the University of Barcelona in 1975. He was a full professor at the University of Barcelona from 1984 to 2005 and has since been at KU. Nualart is among the world’s most prolific authors in probability theory. His book “Malliavin Calculus and Related Topics” is considered the ultimate reference on the topic. He is a member of Spain’s Royal Academy of Exact Physical and Natural Sciences, was invited to speak at the 2006 International Congress of Mathematicians and has been an editor for notable journals in probability theory. A banquet will be held in conjunction with Nualart’s 60th birthday on Saturday, March 19, at the Oread hotel, 1200 Oread Ave. Doors open at 6 p.m.; dinner is at 7 p.m.

Malliavin calculus, named for Paul Malliavin, is a theory of variational stochastic calculus. It has found numerous applications, including in statistical physics and signal processing. A useful feature is the ability to perform integration by parts on random variables. This may be used in financial mathematics to compute sensitivities of financial derivatives. Malliavin, who died in 2010, was a French mathematician. He was professor emeritus at the Pierre and Marie Curie University. He entered France’s Academy of Sciences in 1979. His spouse and collaborator, Marie-Paule Malliavin, will attend the conference.

The conference is sponsored by the National Science Foundation, the Department of Mathematics and College of Liberal Arts and Sciences at KU, the Department of Mathematics and Department of Statistics at Purdue University, the French National Agency for Research and from European university research grants.

The conference is organized by Jin Feng, KU associate professor of mathematics, Yaozhong Hu, KU professor of mathematics, and Frederi Viens, professor of statistics and mathematics and director of the computational finance program at Purdue University.

For more information or to register, go to the math department's website.


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