Stochastic differential equations (2014/2015)

Course code
4S001444
Name of lecturers
Laura Maria Morato, Michele Bonollo
Coordinator
Laura Maria Morato
Number of ECTS credits allocated
6
Academic sector
MAT/06 - PROBABILITY AND STATISTICS
Language of instruction
English
Location
VERONA
Period
II sem. dal Mar 2, 2015 al Jun 12, 2015.

Lesson timetable

Learning outcomes

In this course we will introduce the audience to the basic elements of Ito stochastic calculus and stochastic differential equation with application to stochastic control theory and extension to infinite dimensional cases.

Syllabus

Stochastic processes and martingales,Brownian motion, Ito integral, Ito formula, Stochastic differential equations: existence and uniqueness of solutions, application to stochastic control, stochastic integral in infinite dimension,stochastic linear diffusion equation,stochastic reaction diffusion equation,stochastic porous media equation.

Assessment methods and criteria

Oral test.