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Mathematil Engineering. Stochastic differential equations.

STOCHASTIC DIFFERENTIAL EQUATIONS


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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Handwritten notes Completed notes of the course 2020/2021

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