Derived from
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20410457 CP430 - STOCHASTIC CALCULUS in Mathematics LM-40 CAPUTO PIETRO
(syllabus)
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. APPLICATIONS TO WENTZEL-FREIDLIN THEORY
(reference books)
P. Morters, Y. Peres: Bronian Motion, Cambridge 2010 T. LIGGETT CONTINUOUS TIME MARKOV PROCESSES: AN INTRODUCTION, AMS 2010
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