Stochastic differential equations (2011/2012)

Course code
4S000962
Name of lecturer
Laura Maria Morato
Coordinator
Laura Maria Morato
Number of ECTS credits allocated
6
Academic sector
MAT/06 - PROBABILITY AND STATISTICS
Language of instruction
Italian
Period
II semestre, I semestre

Lesson timetable

Learning outcomes

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.

Syllabus

Programme
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.

Assessment methods and criteria

Oral