David Nualart
- Black-Babcock Distinguished Professor
Contact Info
Office Phone:
Snow Hall, room #556
Biography —
Research —
David Nualart works in stochastic analysis. His research interests focus on the application of Malliavin calculus to a wide range of topics including regularity of probability laws, anticipating stochastic calculus, stochastic integral representations and central limit theorems for Gaussian functionals. His recent research deals with the stochastic calculus with respect to the fractional Brownian motion and related processes. Other fields of interest are stochastic partial differential equations, rough path analysis and mathematical finance.
Research interests:
- Multiparameter stochastic processes
- Two-parameter martingales
- Stochastic calculus in the plane
- Markov property for random fields
- Stochastic Analysis
- Malliavin calculus
- Anticipative stochastic calculus
- Large deviations
- Stochastic partial differential equations
- Fractional Brownian motion
- Mathematical finance