Teaching - Università Roma Tre

CP430 - STOCHASTIC CALCULUS (objectives)

Code

20410457

Language

ITA

Type of certificate

Profit certificate

Credits

6

Scientific Disciplinary Sector Code

MAT/06

Contact Hours

-

Type of Activity

Related or supplementary learning activities

Derived from	20410457 CP430 - STOCHASTIC CALCULUS in Mathematics LM-40 CANDELLERO ELISABETTA (syllabus) Brownian motion: definition and property of BM, continuity and non-differentiability of the trajectories. Markov property, strong Markov property and reflection principle. Multi-dimensional BM, harmonic functions and Dirichlet problem. Skorokhod embedding and Donsker invariance principle. Stochastic integration: Paley-Wiener-Zygmund integral. Stochastic integral, Ito's formula and applications. Stochastic differential equations, Theorem of existence and uniqueness of solutions of SDEs. Exercises. (reference books) Brownian Motion (Moerters and Peres): http://www.mi.uni-koeln.de/~moerters/book/book.pdf An introduction to Stochastic Differential Equations (Evans)
Dates of beginning and end of teaching activities	From to
Delivery mode	Traditional
Attendance	not mandatory
Evaluation methods	Oral exam