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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.
(reference books)
P. Morters, Y. Peres: Bronian Motion, Cambridge 2010
T. Liggett, Continuous time Markov processes: an introduction, AMS 2010
L.C. Evans:Introduction to stochastic differential equations, AMS 2014,
J.F. Le Gall: Brownian motion, martingales, and stochastic calculus, Springer 2016
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Università Roma Tre