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.
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.
Strada le Grazie 15
VAT number 01541040232
Italian Fiscal Code 93009870234
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