Stochastic Processes
- Professors:
- Ferrario Benedetta
- Year:
- 2015/2016
- Course code:
- 500692
- ECTS:
- 6
- SSD:
- MAT/06
- DM:
- 270/04
- Lessons:
- 48
- Period:
- II semester
- Language:
- Italian
Objectives
This course is the natural continuation of "Probability" (Laurea Magistrale). The characteristic arguments are Markov chains and the continuous time martingales.
Teaching methods
Lessons.
Examination
Oral examination.
Prerequisites
The course "Probability" of the Laurea Magistrale. As a consequence, "Stochastic Processes" is not suggested to students of the Laurea Triennale.
Syllabus
1. General notions on stochastic processes
2. Continuous time martingales
3. Markov chains
4. Brownian and Poisson processes
5. Ito calculus and stochastic differential equations
2. Continuous time martingales
3. Markov chains
4. Brownian and Poisson processes
5. Ito calculus and stochastic differential equations
Bibliography
Z. Brzezniak, T. Zastawniak: Basic stochastic processes-a course through exercises (Springer)
A. Shiryaev: Probability (Springer)
A. Shiryaev: Probability (Springer)
Dipartimento di Matematica ''F. Casorati''
Università degli Studi di Pavia -
Via Ferrata, 5 - 27100 Pavia
Tel +39.0382.985600 - Fax +39.0382.985602