Stochastic Processes
- Professors:
- Rigo Pietro, Dolera Emanuele
- Year:
- 2017/2018
- 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 Itô calculus.
Teaching methods
Lessons.
Examination
Oral examination.
Prerequisites
The course "Probability" of the Laurea Magistrale. As a consequence, "Stochastic Processes" is not recommended 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. Itô calculus and stochastic differential equations
2. Continuous time martingales
3. Markov chains
4. Brownian and Poisson processes
5. Itô calculus and stochastic differential equations
Bibliography
E. Çinlar: Probability and stochastics, Springer, (2011); I. Karatzas, S. Shreve: Brownian motion and stochastic calculus, Springer, (1998).
Modules
- Professor:
- Rigo Pietro
- Lessons:
- 24
- ECTS:
- 3
- Professor:
- Dolera Emanuele
- Lessons:
- 24
- ECTS:
- 3
Dipartimento di Matematica ''F. Casorati''
Università degli Studi di Pavia -
Via Ferrata, 5 - 27100 Pavia
Tel +39.0382.985600 - Fax +39.0382.985602