Por Eduardo Ducla-Soares (FCUL).

Nikolay Tzvetkov
Univ. de Cergy-Pontoise

Abstract: We will show that a natural class of gaussian measures living on Sobolev spaces of varying regularity are quasi-invariant under the flow of the two dimensional cubic defocusing wave equation. For that purpose, we introduce renormalised energies and we establish the associated energy estimates. This is a joint work with Tadahiro Oh (Edinburgh University).

Por Margarida Telo da Gama (FCUL).

Nuno André Silva
Institute of Neuroscience and Medicine, INM at the Forschungszentrum Jülich

Jiri Lipovsky
Univ. of Hradec Králové, Czech Republic

Davide Buoso
Politecnico di Torino

Fernanda Cipriano
Departamento de Matemática da Universidade Nova de Lisboa

No âmbito dos Doutoramentos em Astronomia e Astrofísica, Engenharia Física e Física da FCUL, decorrem as 1.^as Jornadas de Doutoramento do Departamento de Física (DF).

Nicolas Privault
Nanyang Technological Univ., Singapore

Abstract: Using Doob transform techniques we will derive closed-form expectations for exponential functionals of Brownian motion in several settings, including Brownian motion on matrix Lie groups. We will also propose numerical approximations constructed by conditional moment matching and stochastic bridges, which turn out to be numerically more stable than closed form expressions.
Applications to option pricing will be mentioned.