Elements of stochastic analysis: Gaussian processes, Brownian motion, probabilistic representation for the solution to partial differential equations, stochastic integration and stochastic differential equations.
Curriculum
teacher profile teaching materials
T. Liggett, Continuous time Markov processes: an introduction, AMS 2010
L.C. Evans:Introduction to stochastic differential equations, AMS 2014,
J.F. Le Gall: Brownian motion, martingales, and stochastic calculus, Springer 2016
Mutuazione: 20410457 CP430 - CALCOLO STOCASTICO in Matematica LM-40 CAPUTO PIETRO
Programme
STOCHASTIC PROCESSES, BROWNIAN MOTION, STOCHASTIC INTEGRALS, STOCHASTIC DIFFERENTIAL EQUATIONS. ITO FORMULA. FEYNMANN-KAC FORMULAS AND APPLICATIONS. MARKOV TIMES AND PROBABILISTIC SOLUTION OF THE DIRICHLET PROBLEM.Core Documentation
P. Morters, Y. Peres: Bronian Motion, Cambridge 2010T. Liggett, Continuous time Markov processes: an introduction, AMS 2010
L.C. Evans:Introduction to stochastic differential equations, AMS 2014,
J.F. Le Gall: Brownian motion, martingales, and stochastic calculus, Springer 2016
Type of delivery of the course
lecturesAttendance
6 hours weeklyType of evaluation
oral examination teacher profile teaching materials
T. Liggett, Continuous time Markov processes: an introduction, AMS 2010
L.C. Evans:Introduction to stochastic differential equations, AMS 2014,
J.F. Le Gall: Brownian motion, martingales, and stochastic calculus, Springer 2016
Mutuazione: 20410457 CP430 - CALCOLO STOCASTICO in Matematica LM-40 CAPUTO PIETRO
Programme
STOCHASTIC PROCESSES, BROWNIAN MOTION, STOCHASTIC INTEGRALS, STOCHASTIC DIFFERENTIAL EQUATIONS. ITO FORMULA. FEYNMANN-KAC FORMULAS AND APPLICATIONS. MARKOV TIMES AND PROBABILISTIC SOLUTION OF THE DIRICHLET PROBLEM.Core Documentation
P. Morters, Y. Peres: Bronian Motion, Cambridge 2010T. Liggett, Continuous time Markov processes: an introduction, AMS 2010
L.C. Evans:Introduction to stochastic differential equations, AMS 2014,
J.F. Le Gall: Brownian motion, martingales, and stochastic calculus, Springer 2016
Type of delivery of the course
lecturesAttendance
6 hours weeklyType of evaluation
oral examination teacher profile teaching materials
T. Liggett, Continuous time Markov processes: an introduction, AMS 2010
L.C. Evans:Introduction to stochastic differential equations, AMS 2014,
J.F. Le Gall: Brownian motion, martingales, and stochastic calculus, Springer 2016
Mutuazione: 20410457 CP430 - CALCOLO STOCASTICO in Matematica LM-40 CAPUTO PIETRO
Programme
STOCHASTIC PROCESSES, BROWNIAN MOTION, STOCHASTIC INTEGRALS, STOCHASTIC DIFFERENTIAL EQUATIONS. ITO FORMULA. FEYNMANN-KAC FORMULAS AND APPLICATIONS. MARKOV TIMES AND PROBABILISTIC SOLUTION OF THE DIRICHLET PROBLEM.Core Documentation
P. Morters, Y. Peres: Bronian Motion, Cambridge 2010T. Liggett, Continuous time Markov processes: an introduction, AMS 2010
L.C. Evans:Introduction to stochastic differential equations, AMS 2014,
J.F. Le Gall: Brownian motion, martingales, and stochastic calculus, Springer 2016
Type of delivery of the course
lecturesAttendance
6 hours weeklyType of evaluation
oral examination