Synthetic program: Martingale. Il processo di Wiener e il rumore bianco. L'integrale stocastico e la formula di Ito. Equazioni differenziali stocastiche; tipi di soluzioni; esistenza e unicità. Cambi di misura; teorema di Girsanov. Formula di Feynman-Kac. Equazioni di Kolmogorov e di Fokker-Planck.
Lecture Notes
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Exercises
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Live
Quick daily notes, exercises and audio recordings. Files will be approved on priority but deleted after 365 days. 2 points will be assigned by default.
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