An introduction to stochastic differential equations

Course

Lecturer:
Stefano Pagliarani (University of Bologna)

Board Contact:
Dimitri Breda

SSD: MAT/08

CFU: 2 CFU attendance + 2 CFU assignment

Period: February 14-16, 2024

Lessons / Hours: 4 Lectures 8 Hours

Program:

  • 14.02.2024 – 14.30-16.30 (2 hours): Introduction and elements of Ito calculus
  • 15.02.2024 – 09.00-11.00 (2 hours): Strong and weak well-posedness of stochastic differential equations
  • 15.02.2024 – 15.30-17.30 (2 hours): Link with Markov processes and PDEs
  • 16.02.2024 – 09.00-11.00 (2 hours): Numerical methods