Faculty Directory: David Nualart
- Office: 556 Snow Hall
- Phone: (785) 864-4788
- Fax: (785) 864-5255
- E-Mail: firstname.lastname@example.org
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.
- Stochastic calculus with anticipating integrands (with E. Pardoux), Probab. Theory Related Fields 78 (1988) 535-581.
- Central limit theorems for sequences of multiple stochastic integrals (with G. Peccati), Ann. Probab. 33 (2005) 177-193.
- Regularity of the density for the stochastic heat equation (with C. Mueller), Electronic Journal of Probability 74 (2008) 2248-2258.
- Fractional martingales and characterization of the fractional Brownian motion (with Y. Hu and J. Song), Annals of Probability 37 (2009) 2404-2430.
- Rough path analysis via fractional calculus (with Y. Hu), Transactions of the American Mathematical Society 361 (2009) 2689-2718.