Scope of this course is to introduce the theory of Stochastic Differential Equations in finite dimension and to give the basic tools for their numerical solution.
a) Brownian Motion, Stochastic Integral, Ito formula, Strong and weak solutions to Stochastic Differential Equations.
b) Numerical methods for the numerical solutions of Stochastis Differential Equations: Euler method, Milstein correction and applications.
Prerequisites : a standard course in Probability Theory
and the knowledge of the basic elements of measure theory and integration.
Strada le Grazie 15
VAT number 01541040232
Italian Fiscal Code 93009870234
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